Tang, Yanlin; Song, Xinyuan; Zhu, Zhongyi - In: Statistica Neerlandica 69 (2015) 1, pp. 1-20
type="main" xml:id="stan12035-abs-0001"We propose composite quantile regression for dependent data, in which the errors are from short-range dependent and strictly stationary linear processes. Under some regularity conditions, we show that composite quantile estimator enjoys root-n consistency...