A note on self-weighted quantile estimation for infinite variance quantile autoregression models
type: Item
instance of: scholarly article
title: A note on self-weighted quantile estimation for infinite variance quantile autoregression models
zbMATH Open document ID: 1154.62064
author: Xiao Rong Yang
author: Lixin Zhang
published in: Statistics \& Probability Letters
publication date: 2008-11-14T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 62G20
zbMATH DE Number: 5366060
MaRDI profile type: Publication
full work available at URL: j.spl.2008.03.014
OpenAlex ID: W2106937797
cites work: Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
cites work: Regression rank scores and regression quantiles
cites work: Q5543905
cites work: Robust methods of estimation of regression coefficients1
cites work: Longitudinal data analysis using \(t\)-type regression.
cites work: Breakdown points of t-type regression estimators
cites work: Limiting distributions for \(L_1\) regression estimators under general conditions
cites work: Regression Quantiles
cites work: Quantile Autoregression
cites work: Autoregression quantiles and related rank-scores processes
cites work: Empirical likelihood
cites work: Censored regression quantiles
cites work: Conditional growth charts. (With discussion and rejoinder)
DOI: 10.1016/J.SPL.2008.03.014
Recommended article: Self-weighted quantile estimation of autoregressive conditional duration model
Recommended article: Q3610125
Recommended article: Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
Recommended article: Q5468801
Recommended article: Asymptotics of self-weighted M-estimators for autoregressive models
Recommended article: Weighted quantile regression for AR model with infinite variance errors
Recommended article: Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
Recommended article: Q5383635
Recommended article: Quantile inference for moderate deviations from a unit root model with infinite variance
Recommended article: Q5142741
description: scientific article; zbMATH DE number 5366060