Supplement to “A smooth block bootstrap for quantile regression with time series.”

作者: Karl B Gregory , Soumendra N Lahiri , DJ NORDMAN

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摘要: A. 1. Supporting Technical Proofs. Here we provide full proofs for Lemmas 1-3 from the main paper, which are technical results on the distribution of the quantile regression estimator and its bootstrap counterpart. These lemmas are expanded here (ie, include more chronologically listed components) to provide additional distributional results and bootstrap properties required for the full exposition of the proofs. In the following, we write f (·)≡ f (·| Xt) to denote the conditional density in Condition (C. 2).

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