Non-parametric estimation of conditional quantiles for time series with heavy tails

Autor:	Mathew, Deemat C, G, Hareesh, Sudheesh, Kattumannil, K
Rok vydání:	2024
Předmět:	Mathematics - Statistics Theory Statistics - Methodology
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2407.15564 Zobrazit plný text záznamu View this record from Arxiv