Spatial quantile estimation of multivariate threshold time series models
Yi Liu and
Physica A: Statistical Mechanics and its Applications, 2017, vol. 486, issue C, 772-781
In this paper we study spatial quantile regression estimation of multivariate threshold time series models. Bahadur’s representations for our estimators are established, which naturally lead to asymptotic normality of the estimators. Simulations and a real example are used to evaluate the performance of the proposed estimators.
Keywords: Spatial quantile regression; Vector time series; Multivariate threshold time series models (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:486:y:2017:i:c:p:772-781
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