| 左截断相依数据下条件分位数的双核局部线性估计 |
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| 引用本文： | 姚梅,王江峰,林路.左截断相依数据下条件分位数的双核局部线性估计[J].数学学报,2018,61(6):963-980. |
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| 作者姓名： | 姚梅 王江峰 林路 |
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| 作者单位： | 1. 合肥工业大学数学学院 合肥 230009;
2. 浙江工商大学统计与数学学院 杭州 310018;
3. 山东大学中泰证券金融研究院 济南 250100 |
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| 基金项目： | 国家社会科学基金资助项目（16BTJ029） |
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| 摘 要： | 本文在左截断相依数据下,利用局部线性估计的方法,先提出了条件分布函数的双核估计;然后利用该估计导出了条件分位数的双核局部线性估计,并建立了这些估计的渐近正态性结果;最后,通过模拟显示该估计在偏移和边界点调节上要比一般的核估计更好.
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Double-Kernel Local Linear Estimator of Conditional Quantile under Left-truncated and Dependent Data |
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| Mei YAO,Jiang Feng WANG,Lu LIN.Double-Kernel Local Linear Estimator of Conditional Quantile under Left-truncated and Dependent Data[J].Acta Mathematica Sinica,2018,61(6):963-980. |
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| Authors: | Mei YAO Jiang Feng WANG Lu LIN |
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| Affiliation: | 1. School of Mathematics, Hefei University of Technology, Hefei 230009, P. R. China;
2. School of Statistics and Mathematics, Zhejiang Gongshang University, Hongzhou 310018, P. R. China;
3. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, P. R. China |
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| Abstract: | We construct a double-kernel estimator of conditional distribution function by the local linear approach for left-truncated and dependent data, from which we derive the weighted double-kernel local linear estimator of conditional quantile. The asymptotic normality of the proposed estimators are also established. Finite-sample performance of the estimator is investigated via simulation, and is better than the general kernel estimation in bias and adaptation of edge effects. |
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| Keywords: | left-truncated data dependent data conditional quantile double-kernel local linear estimator asymptotic normality |
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