We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series availableat time t − 1. We discuss sieve estimates which are a nonparametric versions ofthe Koenker-Bassett regression quantiles and do not...

We consider the problem of estimating the conditional quantile of a time series at time t given observations of the same and perhaps other time series available at time t - 1. We discuss sieve estimates which are a nonparametric versions of the Koenker-Bassett regression quantiles and do not...

We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients...