Oberhofer, Walter and Haupt, Harry (2005) The asymptotic distribution of the unconditional quantile estimator under dependence. STATISTICS & PROBABILITY LETTERS, 73 (3). pp. 243-250. ISSN 0167-7152, 1879-2103
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This paper studies the asymptotic behaviour of the unconditional quantile estimator for dependent random variables. Our proof is based on results from convex stochastic optimization and a mixing process which is specific to quantile estimation and requires only a small part of the a-algebra generated by the random variable under consideration. The joint asymptotic distribution of several quantiles is given. (c) 2005 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | REGRESSION QUANTILES; TIME-SERIES; parametric quantile estimator; mixing; convex stochastic optimization |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Entpflichtete oder im Ruhestand befindliche Professoren > Prof. em. Dr. Walter Oberhofer |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 10 May 2021 07:08 |
| Last Modified: | 10 May 2021 07:08 |
| URI: | https://pred.uni-regensburg.de/id/eprint/35977 |
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