Asymptotic normality of Powell’s kernel estimator
نویسنده
چکیده
In this paper, we establish asymptotic normality of Powell’s kernel estimator for the asymptotic covariance matrix of the quantile regression estimator for both i.i.d. and weakly dependent data. As an application, we derive the optimal bandwidth that minimizes the approximate mean squared error of the kernel estimator.
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تاریخ انتشار 2009