Article ID Journal Published Year Pages File Type
5102583 Physica A: Statistical Mechanics and its Applications 2017 18 Pages PDF
Abstract
In this paper we study spatial quantile regression estimation of multivariate threshold time series models. Bahadur's representations for our estimators are established, which naturally lead to asymptotic normality of the estimators. Simulations and a real example are used to evaluate the performance of the proposed estimators.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
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