We consider estimation of quantile curves for a general class of nonstationary processes. Consistency and central limit results are obtained for local linear quantile estimates under a mild short-range dependence condition. Our results are applied to environmental data sets. In particular, our results can be used to address the problem of whether climate variability has changed, an important problem raised by IPCC (Intergovernmental Panel on Climate Change) in 2001.
Publié le : 2009-10-15
Classification:
Bahadur representation,
climate change,
global warming,
local linear regression,
local stationarity,
nonstationary nonlinear time series,
quantile estimation,
smoothing,
62G05,
60F05
@article{1247836666,
author = {Zhou, Zhou and Wu, Wei Biao},
title = {Local linear quantile estimation for nonstationary time series},
journal = {Ann. Statist.},
volume = {37},
number = {1},
year = {2009},
pages = { 2696-2729},
language = {en},
url = {http://dml.mathdoc.fr/item/1247836666}
}
Zhou, Zhou; Wu, Wei Biao. Local linear quantile estimation for nonstationary time series. Ann. Statist., Tome 37 (2009) no. 1, pp. 2696-2729. http://gdmltest.u-ga.fr/item/1247836666/