Non-nested model selection based on the quantiles and it’s application in time series

DOI10.1080/03610926.2017.1410714OpenAlexW2780809449MaRDI QIDQ5022777

Abdolreza Sayyareh, Sedigheh Zamani Mehreyan, Dimitrios D. Thomakos

Publication date: 19 January 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2017.1410714

zbMATH Keywords

model selectionautoregressive modelNoVas forecastquantile leasts squares estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on bootstrapping the variance of sample quantile
• Joint asymptotic distribution of marginal quantiles and quantile functions in samples from a multivariate population
• Weak convergence and efficient density estimation at a point
• Consistency of the jackknife-after-bootstrap variance estimator for the bootstrap quantiles of a Studentized statistic
• Approximation Theorems of Mathematical Statistics
• ON THE JACKKNIFE-AFTER-BOOTSTRAP METHOD FOR DEPENDENT DATA AND ITS CONSISTENCY PROPERTIES