Nonparametric Prewhitening Estimators for Conditional Quantiles

We define a nonparametric prewhitening method for estimating conditional quantiles based on local linear quantile regression. We characterize the bias, variance and asymptotic normality of the proposed estimator. Under weak conditions our estimator can achieve bias reduction and have the same varian...

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Main Authors: SU, Liangjun, ULLAH, Aman
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2008
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在線閱讀:https://ink.library.smu.edu.sg/soe_research/436
https://ink.library.smu.edu.sg/context/soe_research/article/1435/viewcontent/A18n317.pdf
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