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Non-parametric estimation of conditional quantiles for time series with heavy tails
- Publication Year :
- 2024
-
Abstract
- We propose a modified weighted Nadaraya-Watson estimator for the conditional distribution of a time series with heavy tails. We establish the asymptotic normality of the proposed estimator. Simulation study is carried out to assess the performance of the estimator. We illustrate our method using a dataset.
- Subjects :
- Mathematics - Statistics Theory
Statistics - Methodology
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2407.15564
- Document Type :
- Working Paper