Asymptotic properties of a particular nonlinear regression quantile estimation

✍ Scribed by Tae Soo Kim; Hae Kyung Kim; Sun Hur

• Publisher: Elsevier Science
• Year: 2002
• Tongue: English
• Weight: 127 KB
• Volume: 60
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(02)00303-6

✦ Synopsis

In this paper we shall be concerned with the asymptotic properties of the regression quantile estimation in the nonlinear regression time series models. For these, ÿrst we prove the strong consistency and derive the asymptotic normality of the regression quantile estimators for a particular sinusoidal regression model with a simple harmonic component. Next, we extend the results to more complicated sinusoidal models of several harmonic components.