Nonparametric Prewhitening Estimators for Conditional Quantiles

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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書目詳細資料
Main Authors:	SU, Liangjun, ULLAH, Aman
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2008
主題:	Local linear quantile regression nonparametric quantile regression prediction interval prewhitening estimator weighted Nadaraya-Watson estimator Econometrics
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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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