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

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

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Publication details

Title of host publicationRandom Walk, Sequential Analysis and Related Topics
DatePublished - 2006
Pages281-295
Number of pages15
PublisherWORLD SCIENTIFIC PUBL CO PTE LTD
Place of PublicationSINGAPORE
EditorsAC Hsiung, Z Ying, CH Zhang
Original languageEnglish
ISBN (Print)978-981-270-355-2

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.

    Research areas

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

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