Wang, Ji-Xia; Xiao, Qing-Xian - In: Journal of Applied Statistics 41 (2014) 11, pp. 2437-2449
This paper is dedicated to the study of the composite quantile regression (CQR) estimations of time-varying parameter vectors for multidimensional diffusion models. Based on the local linear fitting for parameter vectors, we propose the local linear CQR estimations of the drift parameter...