Local composite quantile regression estimation of time-varying parameter vector for multidimensional time-inhomogeneous diffusion models

DOI10.1080/02664763.2014.911824OpenAlexW2018508340MaRDI QIDQ5130541

Qingxian Xiao, Jixia Wang

Publication date: 28 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2014.911824

zbMATH Keywords

asymptotic normalityasymptotic relative efficiencymultidimensional diffusion modelcomposite quantile regression estimationtime-dependent parameter vector

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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