Spatial quantile estimation of multivariate threshold time series models

Jiancheng Jiang, Xuejun Jiang, Jingzhi Li, Yi Liu and Wanfeng Yan

Physica A: Statistical Mechanics and its Applications, 2017, vol. 486, issue C, 772-781

Abstract: 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)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:486:y:2017:i:c:p:772-781

DOI: 10.1016/j.physa.2017.05.062

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