Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors

Toshio Honda

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate the asymptotic properties. It is shown that the asymptotic properties are affected by both the time dependence and the tail index of the errors. The results of a small simulation study are also given.

Keywords: conditional quantile; random design; check function; local linear regression; stable distribution; linear process; long-range dependence; martingale central limit theorem (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-ecm
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Journal Article: Nonparametric quantile regression with heavy-tailed and strongly dependent errors (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd10-157

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