Time-Varying Quantiles
Time-Varying Quantiles
复制标题
时变分位数
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
A. Harvey
中科院分区：
文献类型：
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作者：
Giuliano De Rossi;A. Harvey
A time-varying quantile can be fitted to a sequence of observations by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction algorithm. Quantiles estimated in this way provide information on various aspects of a time series, including dispersion, asymmetry and, for financial applications, value at risk. Tests for the constancy of quantiles, and associated contrasts, are constructed using indicator variables; these tests have a similar form to stationarity tests and, under the null hypothesis, their asymptotic distributions belong to the Cramer von Mises family. Estimates of the quantiles at the end of the series provide the basis for forecasting. As such they offer an alternative to conditional quantile autoregressions and, at the same time, give some insight into their structure and potential drawbacks.
