Non-parametric estimation of conditional quantiles for time series with heavy tails
Fuente:
arXiv
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| Autori principali: | , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
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| _version_ | 1866913440023445504 |
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| author | Mathew, Deemat C G, Hareesh Sudheesh Kattumannil, K |
| author_facet | Mathew, Deemat C G, Hareesh Sudheesh Kattumannil, K |
| contents | We propose a modified weighted Nadaraya-Watson estimator for the conditional distribution of a time series with heavy tails. We establish the asymptotic normality of the proposed estimator. Simulation study is carried out to assess the performance of the estimator. We illustrate our method using a dataset. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_15564 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Non-parametric estimation of conditional quantiles for time series with heavy tails Mathew, Deemat C G, Hareesh Sudheesh Kattumannil, K Statistics Theory Methodology We propose a modified weighted Nadaraya-Watson estimator for the conditional distribution of a time series with heavy tails. We establish the asymptotic normality of the proposed estimator. Simulation study is carried out to assess the performance of the estimator. We illustrate our method using a dataset. |
| title | Non-parametric estimation of conditional quantiles for time series with heavy tails |
| topic | Statistics Theory Methodology |
| url | https://arxiv.org/abs/2407.15564 |