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Savich, I. M.

Consistency of quantile estimators in regression models with long-range dependent noise. (English. Ukrainian original) Zbl 1232.62100

Theory Probab. Math. Stat. 82, 129-138 (2011); translation from Teor. Jmovirn. Mat. Stat. No. 82, 128-136.
Summary: Sufficient conditions for weak consistency of the Koenker-Bassett estimator are obtained for the parameters of a nonlinear regression model with continuous time and random noise possessing the property of long-range dependence.

Cited in 1 Document

MSC:

62J02 General nonlinear regression
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G08 Nonparametric regression and quantile regression
62F12 Asymptotic properties of parametric estimators

Software:

longmemo
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\textit{I. M. Savich}, Theory Probab. Math. Stat. 82, 129--138 (2011; Zbl 1232.62100); translation from Teor. Jmovirn. Mat. Stat. No. 82, 128--13
Full Text: DOI

References:

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