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Nonparametric quantile regression with heavy-tailed and strongly dependent errors

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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.

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Authors and Affiliations

  1. Graduate School of Economics, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo, 186-8601, Japan

    Toshio Honda

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  1. Toshio Honda
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Correspondence to Toshio Honda.

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Honda, T. Nonparametric quantile regression with heavy-tailed and strongly dependent errors. Ann Inst Stat Math 65, 23–47 (2013). https://doi.org/10.1007/s10463-012-0359-8

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  • DOI: https://doi.org/10.1007/s10463-012-0359-8

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