A simple nonparametric conditional quantile estimator for time series with thin tails

Qiao Wang

Economics Letters, 2023, vol. 232, issue C

Abstract: In this study, we consider a simple conditional quantile estimator in a nonparametric framework with time series data. We prove the consistency and asymptotic normality of our simple estimator for absolutely regular processes (β-mixing). This simple estimator can get better finite sample performances at thin tails than the check-function-based estimator. Finite sample simulation results show that our simple estimators have better finite sample performances at thin tails of time series data.

Keywords: Quantile; Nonparametric; Time series; Thin; Tail (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003749

DOI: 10.1016/j.econlet.2023.111349

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