Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102583 | Physica A: Statistical Mechanics and its Applications | 2017 | 18 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Jiancheng Jiang, Xuejun Jiang, Jingzhi Li, Yi Liu, Wanfeng Yan,