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June 2018 A smooth block bootstrap for quantile regression with time series
Karl B. Gregory, Soumendra N. Lahiri, Daniel J. Nordman
Ann. Statist. 46(3): 1138-1166 (June 2018). DOI: 10.1214/17-AOS1580

Abstract

Quantile regression allows for broad (conditional) characterizations of a response distribution beyond conditional means and is of increasing interest in economic and financial applications. Because quantile regression estimators have complex limiting distributions, several bootstrap methods for the independent data setting have been proposed, many of which involve smoothing steps to improve bootstrap approximations. Currently, no similar advances in smoothed bootstraps exist for quantile regression with dependent data. To this end, we establish a smooth tapered block bootstrap procedure for approximating the distribution of quantile regression estimators for time series. This bootstrap involves two rounds of smoothing in resampling: individual observations are resampled via kernel smoothing techniques and resampled data blocks are smoothed by tapering. The smooth bootstrap results in performance improvements over previous unsmoothed versions of the block bootstrap as well as normal approximations based on Powell’s kernel variance estimator, which are common in application. Our theoretical results correct errors in proofs for earlier and simpler versions of the (unsmoothed) moving blocks bootstrap for quantile regression and broaden the validity of block bootstraps for this problem under weak conditions. We illustrate the smooth bootstrap through numerical studies and examples.

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Karl B. Gregory. Soumendra N. Lahiri. Daniel J. Nordman. "A smooth block bootstrap for quantile regression with time series." Ann. Statist. 46 (3) 1138 - 1166, June 2018. https://doi.org/10.1214/17-AOS1580

Information

Received: 1 June 2016; Revised: 1 February 2017; Published: June 2018
First available in Project Euclid: 3 May 2018

zbMATH: 1392.62128
MathSciNet: MR3797999
Digital Object Identifier: 10.1214/17-AOS1580

Subjects:
Primary: 62G09
Secondary: 62G20 , 62J05 , 62M10

Keywords: jackknife after bootstrap , kernel smoothing , moving blocks , tapering , value at risk

Rights: Copyright © 2018 Institute of Mathematical Statistics

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Vol.46 • No. 3 • June 2018
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