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THE L₁-NORM KERNEL ESTIMATOR OF CONDITIONAL MEDIAN FOR STATIONARY PROCESSES

Supported by National Natural Science Foundation of China (Grant No. 10131040) and Specialized Research Fund for the Doctor Program of Higher Education (Grant No. 2002335090).

ZHENGYAN LIN

Department of Mathematics, Zhejiang University, Xixi Campus, Hangzhou, Zhejiang 310028, China

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and

DEGUI LI

Department of Mathematics, Zhejiang University, Yuquan Campus, Hangzhou, Zhejiang 310027, China

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https://doi.org/10.1142/9789812772558_0019Cited by:1 (Source: Crossref)

Abstract:

We consider L₁-norm kernel estimator of the conditional median θ(x), for a wide class of stationary processes. Asymptotic normality of the resulting estimator θ_n(x) is established under different regularity conditions on bandwidths. Applications of our main results are also given.