Averaged Autoregression Quantiles in Autoregressive Model

DOI10.1007/978-3-030-48814-7_1zbMath1455.62108OpenAlexW3043395453MaRDI QIDQ5141226

Olcay Arslan, Yeşim Güney, Jana Jureckova

Publication date: 18 December 2020

Published in: Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-48814-7_1

zbMATH Keywords

autoregressive modelquantile autoregressionlocal heteroscedasticity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Neural nets and related approaches to inference from stochastic processes (62M45)

Uses Software

• quantreg
• KScorrect

Cites Work

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