A note on self-weighted quantile estimation for infinite variance quantile autoregression models

DOI10.1016/j.spl.2008.03.014zbMath1154.62064OpenAlexW2106937797MaRDI QIDQ952867

Xiao Rong Yang, Zhang, Lixin

Publication date: 14 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.03.014

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (2)

A Gini Autocovariance Function for Time Series Modelling ⋮ Weighted quantile regression for AR model with infinite variance errors

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