Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
AbstractIn this article, quantile regression methods are suggested for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a quantile framework. We establish the asymptotic properties of both the local polynomial and local constant estimators …