The L-1-norm kernel estimator of conditional median for stationary processes

Zhengyan Lin*, Degui Li

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We consider L-1-norm kernel estimator of the conditional median theta(x), x is an element of R-d for a wide class of stationary processes. Asymptotic normality of the resulting estimator theta(n)(x) is established under different regularity conditions on bandwidths. Applications of our main results are also given.

Original languageEnglish
Title of host publicationRandom Walk, Sequential Analysis and Related Topics
EditorsAC Hsiung, Z Ying, CH Zhang
Place of PublicationSINGAPORE
PublisherWorld Scientific Publishing
Pages281-295
Number of pages15
ISBN (Print)978-981-270-355-2
Publication statusPublished - 2006
EventFestschrift in Honor of Yuan Shih Chow on Random Walk, Sequential Analysis and Related Topics - Shanghai
Duration: 18 Jul 200419 Jul 2004

Conference

ConferenceFestschrift in Honor of Yuan Shih Chow on Random Walk, Sequential Analysis and Related Topics
CityShanghai
Period18/07/0419/07/04

Keywords

  • stationary process
  • REGRESSION QUANTILES
  • conditional median
  • MOVING AVERAGES
  • LINEAR-PROCESSES
  • asymptotic normality
  • DENSITY-ESTIMATION
  • L-1-norm kernel estimation

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