Deutsch
Oberhofer, Walter and Haupt, Harald (2005) The asymptotic distribution of the unconditional quantile estimator under dependence. Statistics & Probability Letters 73 (3), pp. 243-250.
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Abstract
This paper studies the asymptotic behaviour of the unconditional quantile estimator for dependent random variables. Our proof is based on results from convex stochastic optimization and a mixing process which is specific to quantile estimation and requires only a small part of the σ-algebra generated by the random variable under consideration. The joint asymptotic distribution of several quantiles is given.
| Item Type: | Article | ||||
|---|---|---|---|---|---|
| Institutions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Ökonometrie (Prof. Dr. Rolf Tschernig) | ||||
| Identification Number: |
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| Keywords: | Parametric quantile estimator; Mixing; Convex stochastic optimization | ||||
| Subjects: | 300 Social sciences > 330 Economics | ||||
| Status: | Published | ||||
| Refereed: | Unknown | ||||
| Created at the University of Regensburg: | Unknown | ||||
| Owner: | Petra Gürster | ||||
| Deposited On: | 12 Dec 2008 12:18 | ||||
| Last Modified: | 05 Aug 2009 15:49 | ||||
| Item ID: | 5147 |
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