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Asymptotic properties of a particular nonlinear regression quantile estimation |
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| Authors: | Tae Soo Kim Hae Kyung Kim Sun Hur |
| Institution: | a Graduate School of Health Science and Management, Yonsei University, Seoul 120-752, South Korea b Department of Mathematics, Yonsei University, Seoul 120-791, South Korea c Department of Industrial Engineering, Hanyang University, Ansan 425-791, South Korea |
| Abstract: | In this paper we shall be concerned with the asymptotic properties of the regression quantile estimation in the nonlinear regression time series models. For these, first we prove the strong consistency and derive the asymptotic normality of the regression quantile estimators for a particular sinusoidal regression model with a simple harmonic component. Next, we extend the results to more complicated sinusoidal models of several harmonic components. |
| Keywords: | Regression quantile estimators Consistency Asymptotic normality |
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