Abstract #301219

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JSM 2003 Abstract #301219
Activity Number: 88
Type: Contributed
Date/Time: Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract - #301219
Title: Direct Quantile Estimation for Locally Stationary Time Series
Author(s): Serge Guillas*+ and Dana Draghicescu and Wei Biao Wu
Companies: University of Chicago and University of Chicago and University of Chicago
Address: CISES, Chicago, IL, 60637-1434,
Keywords: quantile curve ; locally stationary ; time series ; ozone
Abstract:

We address the problem of quantile estimation for locally stationary processes. We propose a two-step nonparametric procedure which does not involve the inversion and consequently the estimation of the cumulative distribution function. We cut up the sample path of the process into different blocks of constant length and then compute the sample quantiles on each of these blocks. We select the optimal length of the blocks by minimizing the mean squared error of the initial estimator and then smooth this step function to produce the estimated quantile curve. Applications to ozone time series illustrate the findings.

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