Non-parametric estimation of conditional quantiles for time series with heavy tails

Deemat C Mathew; Hareesh G; Sudheesh; K Kattumannil

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arXiv · 2407.15564

Non-parametric estimation of conditional quantiles for time series with heavy tails

Deemat C Mathew·Hareesh G·Sudheesh·K Kattumannil

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Abstract

We propose a modified weighted Nadaraya-Watson estimator for the conditional distribution of a time series with heavy tails. We establish the asymptotic normality of the proposed estimator. Simulation study is carried out to assess the performance of the estimator. We illustrate our method using a dataset.

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Deemat C Mathew, Hareesh G, Sudheesh, K Kattumannil. 2024-07-22. Non-parametric estimation of conditional quantiles for time series with heavy tails. https://arxiv.org/abs/2407.15564

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