Averaged Autoregression Quantiles in Autoregressive Model

GÜNEY Y., Jurečková J., ARSLAN O.

3rd Workshop on Analytical Methods in Statistics, AMISTAT 2019, Liberec, Çek Cumhuriyeti, 16 - 19 Eylül 2019, cilt.329, ss.1-15 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası: 329
  • Doi Numarası: 10.1007/978-3-030-48814-7_1
  • Basıldığı Şehir: Liberec
  • Basıldığı Ülke: Çek Cumhuriyeti
  • Sayfa Sayıları: ss.1-15
  • Anahtar Kelimeler: Autoregressive model, Local heteroscedasticity, Quantile autoregression
  • Ankara Üniversitesi Adresli: Evet

Özet

© 2020, Springer Nature Switzerland AG.This paper considers the averaged autoregression quantile in autoregressive models. Our primary interest is its structure, qualities, and its applications. Moreover, under the local heteroscedasticity we investigate the properties of averaged autoregression quantile. For an illustration, a simulation study is provided.