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Nonparametric estimation of expectile regression in functional dependent data. (English) Zbl 07476221

The paper studies the nonparametric kernel estimation of conditional expectiles in strong mixing functional time series. The exact setup is presented in Section 2. The assumptions are presented in Sections 3.1 and 3.2, which respectively state the consistency and asymptotic normality of the considered kernel estimator. Section 4 discusses various miscellaneous topics, such as examples in which the assumptions in the paper are satisfied, and inference. Section 5 examines the performance of the presented estimator on simulated and real data.

MSC:

62G08 Nonparametric regression and quantile regression
62G10 Nonparametric hypothesis testing
62G35 Nonparametric robustness
62G07 Density estimation
62G32 Statistics of extreme values; tail inference
62G30 Order statistics; empirical distribution functions
62H12 Estimation in multivariate analysis
62R10 Functional data analysis
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