Report in Wirtschaftsmathematik (WIMA Report)
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- 2003 (1) (entfernen)
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- conditional quantiles (1)
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- 87
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Nonparametric Estimates for Conditional Quantiles of Time Series
(2003)
- We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t-1. We discuss an estimate which we get by inverting a kernel estimate of the conditional distribution function, and prove its asymptotic normality and uniform strong consistency. We illustrate the good performance of the estimate for light and heavy-tailed distributions of the innovations with a small simulation study.
