Asymptotic normality of convergent estimates of conditional quantiles

We state sufficient conditions for asymptotic normality of convergent estimates of conditional quantiles, irrespective of data dependence and consider the particular case of α-mixing stationary processes under optimal condition of convergence. We apply this result to confidence intervals building fo...

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Bibliographic Details
Published in:Statistics (Berlin, DDR) DDR), 2001-01, Vol.35 (2), p.139-169
Main Authors: Berlinet, Alain, Gannoun, Ali, Atzner-løber, Eric
Format: Article
Language:English
Subjects:
Asymptotic normality
Conditional quantiles
Forecasting
Time series
α-mixing stationary processes
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Summary:We state sufficient conditions for asymptotic normality of convergent estimates of conditional quantiles, irrespective of data dependence and consider the particular case of α-mixing stationary processes under optimal condition of convergence. We apply this result to confidence intervals building for time series predictors based on nonparametric estimates of the conditional median.
ISSN:0233-1888
1029-4910
DOI:10.1080/02331880108802728