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Nonparametric Estimation of a Conditional Quantile Density Function for Time Series Data |
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PP: 13-21 |
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Author(s) |
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Amina Angelika Bouchentouf,
Yassine Hammou,
Khadidja Nedjadi,
Abbes Rabhi,
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Abstract |
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| The aim of this paper is to estimate nonparametrically the conditional quantile density function. A non-parametric
estimator of a conditional quantile function density is presented, its asymptotic properties are derived via the estimation of the
conditional distribution, as of the conditional quantile in the case of dependent data. To obtain the asymptotic properties we consider
some concentration hypotheses acting on the distribution of the conditional functional variable. |
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