LOCAL LINEAR QUANTILE ESTIMATION FOR NONSTATIONARY TIME SERIES

• 成果类型: Article
• 署名作者: Zhou, Zhou; Wu, Wei Biao
• 署名单位: University of Chicago
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/08-AOS636
• 发表日期: 2009
• 页码: 2696-2729
• 关键词: regression quantiles; models; kernel

摘要

We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates under a mild short-range dependence condition. Our results are applied to environmental data sets. In particular, our results can be used to address the problem of whether climate variability has changed, an important problem raised by IPCC (Intergovernmental Panel on Climate Change) in 2001.