Fixed design regression quantiles for time series

D. A. Ioannides

Statistics & Probability Letters, 2004, vol. 68, issue 3, 235-245

Abstract: This paper studies nonparametric estimation of regression quantiles under the fixed design model. We suppose that the error random variables are coming from a strictly stationary stochastic process satisfying the strong mixing condition. The joint asymptotic normality for the estimators of several quantiles is given. The same property is established for the regression quantile estimator at different fixed design points.

Keywords: Fixed; design; Nonparametric; estimator; Regression; quantile; Distribution (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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