Nonparametric estimation of conditional medians for linear and related processes

DOI10.1007/s10463-008-0203-3zbMath1432.62074OpenAlexW1984836044MaRDI QIDQ907056

Toshio Honda

Publication date: 1 February 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16925/070econDP05-04.pdf

zbMATH Keywords

local linear estimatorlong-range dependencelinear processessimulation studyrandom designconditional quantilesshort-range dependenceleast absolute deviation regressionmartingale CLT

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Stationary stochastic processes (60G10)

Related Items (5)

Asymptotics of estimators for nonparametric multivariate regression models with long memory ⋮ Nonparametric LAD cointegrating regression ⋮ Nonparametric quantile regression with heavy-tailed and strongly dependent errors ⋮ Asymptotics for \(L_1\)-wavelet method for nonparametric regression ⋮ Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures

Uses Software

• R
• quantreg
• longmemo

Cites Work

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