Nonparametric estimation of a conditional quantile for α-mixing processes

被引：52
|
作者：
Honda, T [1 ]
机构：
[1] Univ Tsukuba, Inst Social Sci, Tsukuba, Ibaraki 3058571, Japan
来源：
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2000年 / 52卷 / 03期
关键词：
conditional quantile; local polynomial fitting; alpha-mixing process; exponential inequality; Bahadur representation; uniform convergence;
D O I：
10.1023/A:1004113201457
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let (X'(i),Y-i)' be a set of observations form a stationary alpha-mixing process and theta(x) be the conditional alpha-th quantile of Y give X = x. Several authors considered nonparametric estimation of theta(x) in the i.i.d. setting. Assuming the smoothIless of theta(x), we estimate it by local polynomial fitting and prove the asymptotic normality and the uniform convergence.
引用
收藏
页码：459 / 470
页数：12
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