Nonparametric estimation of quantiles for a class of stationary processes  

作　　者：HUANG Chu WANG HanChao LIN ZhengYan 

机构地区：[1]Department of Science, Hangzhou Normal University [2]Department of Mathematics, Zhejiang University

出　　处：《Science China Mathematics》2015年第12期2621-2632,共12页中国科学：数学（英文版）

摘　　要：We study smoothed quantile estimator for a class of stationary processes. We obtain the convergency rates and the Bahadur representation, as well as the asymptotic normality for this estimator by the method of m-dependent approximation. Our results can be used in the study of the estimation of value-at-risk(Va R) and applied to many time series which have important applications in econometrics.We study smoothed quantile estimator for a class of stationary processes. We obtain the convergency rates and the Bahadur representation, as well as the asymptotic normality for this estimator by the method of m-dependent approximation. Our results can be used in the study of the estimation of value-at-risk（Va R） and applied to many time series which have important applications in econometrics.

关 键 词：quantile estimator kernel method causal process m-dependent approximation asymptotic inference 

分 类 号：O212.7[理学—概率论与数理统计] O211.61[理学—数学]