Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence

DOI10.1080/03610926.2011.581178zbMath1315.62057OpenAlexW1989710817MaRDI QIDQ2890087

Irina N. Savich, Alexander V. Ivanov

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581178

zbMATH Keywords

asymptotic normalityHermite polynomialslong-range dependenceHermite rankKoenker-Bassett estimatorspectral measure of regression function

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15) General nonlinear regression (62J02)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large-sample inference for nonparametric regression with dependent errors
• Semiparametric analysis of long-range dependence in nonlinear regression
• Central limit theorems for sequences of multiple stochastic integrals
• On the measurability and consistency of minimum contrast estimates
• Robust Estimators in Non-linear Regression Models with Long-Range Dependence
• Regression Quantiles
• Continuous-Time Stochastic Processes with Cyclical Long-Range Dependence
• Asymptotic behavior of M-estimators in continuous-time non-linear regression with long-range dependent errors
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Robust Statistics

This page was built for publication: Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence