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Tests of strict stationarity based on quantile indicators

✍ Scribed by Fabio Busetti; Andrew Harvey

Book ID
111040158
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
549 KB
Volume
31
Category
Article
ISSN
0143-9782

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The extreme regression quantiles, as analogues of the extreme-order statistics in the linear regression model, were ÿrst considered by Smith (1994, Biometrika 81, 173-183) and studied by Portnoy and JureÄ ckovà a (1999, Extremes, to appear). They may have various important applications, parallel to