Asymptotic normality of convergent estimates of conditional quantiles

Authors
Berlinet, A Gannoun, A Matzner-Lober, E
Citation
A. Berlinet et al., Asymptotic normality of convergent estimates of conditional quantiles, STATISTICS, 35(2), 2001, pp. 139-169
Citations number
27
Categorie Soggetti
Mathematics
Journal title
STATISTICS
ISSN journal
02331888 → ACNP
Volume
35
Issue
2
Year of publication
2001
Pages
139 - 169
Database
ISI
SICI code
0233-1888(2001)35:2<139:ANOCEO>2.0.ZU;2-Z
Abstract
We state sufficient conditions for asymptotic normality of convergent estim ates of conditional quantiles, irrespective of data dependence and consider the particular case of cu-mixing stationary processes under optimal condit ion of convergence. We apply this result to confidence intervals building f or time series predictors based on nonparametric estimates of the condition al median.