Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
نویسندگان
چکیده
منابع مشابه
Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models
In this paper, quantile regression methods are suggested for a class of smooth coefficient time series models. We employ a local linear fitting scheme to estimate the smooth coefficients in the quantile framework. The programming involved in the local linear quantile estimation is relatively simple and it can be modified with few efforts from the existing programs for the linear quantile model....
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2008
ISSN: 0162-1459,1537-274X
DOI: 10.1198/016214508000000977