Consistency and uniformly asymptotic normality of wavelet estimator in regression model with associated samples

2008 ◽  
Vol 78 (17) ◽  
pp. 2947-2956 ◽  
Author(s):  
Yongming Li ◽  
Shanchao Yang ◽  
Yong Zhou
Keyword(s):  
Asymptotic Normality ◽  
Regression Model ◽  
Wavelet Estimator ◽  
Uniformly Asymptotic Normality

scholarly journals ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE

2015 ◽  
Vol 32 (3) ◽  
pp. 686-713 ◽  
Author(s):  
Walter Oberhofer ◽  
Harry Haupt
Keyword(s):  
Quantile Regression ◽  
Asymptotic Normality ◽  
Regression Model ◽  
Asymptotic Theory ◽  
Asymptotic Properties ◽  
Covariance Estimation ◽  
First Order ◽  
Regression Quantiles ◽  
Quantile Regression Model ◽  
Consistency And Asymptotic Normality

This paper studies the asymptotic properties of the nonlinear quantile regression model under general assumptions on the error process, which is allowed to be heterogeneous and mixing. We derive the consistency and asymptotic normality of regression quantiles under mild assumptions. First-order asymptotic theory is completed by a discussion of consistent covariance estimation.

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