Nonparametric estimation of quantiles for a class of stationary processes |
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| Authors: | Chu Huang HanChao Wang ZhengYan Lin |
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| Institution: | 1. Department of Science, Hangzhou Normal University, Hangzhou, 310036, China
2. Department of Mathematics, Zhejiang University, Hangzhou, 310027, China
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| Abstract: | 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. |
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