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Kernel type smoothed quantile estimation under long memory

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  • Lihong Wang

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  • Lihong Wang, 2010. "Kernel type smoothed quantile estimation under long memory," Statistical Papers, Springer, vol. 51(1), pages 57-67, January.
    • Handle: RePEc:spr:stpapr:v:51:y:2010:i:1:p:57-67
    DOI: 10.1007/s00362-007-0115-y
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    References listed on IDEAS

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    1. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
    2. Youndjé, É. & Vieu, P., 2006. "A note on quantile estimation for long-range dependent stochastic processes," Statistics & Probability Letters, Elsevier, vol. 76(2), pages 109-116, January.
    3. Cai, Zongwu & Roussas, George G., 1997. "Smooth estimate of quantiles under association," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 275-287, December.
    4. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Xuejun Wang & Yi Wu & Wei Yu & Wenzhi Yang & Shuhe Hu, 2019. "Asymptotics for the linear kernel quantile estimator," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(4), pages 1144-1174, December.
    2. Zhongde Luo, 2020. "Nonparametric kernel estimation of CVaR under $$\alpha $$α-mixing sequences," Statistical Papers, Springer, vol. 61(2), pages 615-643, April.

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