Abstract
Let (X′i,Y i)′ be a set of observations form a stationary α-mixing process and Θ(x) be the conditional α-th quantile of Y given X = x. Several authors considered nonparametric estimation of Θ(x) in the i.i.d. setting. Assuming the smoothness of ΘFF(x), we estimate it by local polynomial fitting and prove the asymptotic normality and the uniform convergence.
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Honda, T. Nonparametric Estimation of a Conditional Quantile for α-Mixing Processes. Annals of the Institute of Statistical Mathematics 52, 459–470 (2000). https://doi.org/10.1023/A:1004113201457
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DOI: https://doi.org/10.1023/A:1004113201457