Abstract
We state sufficient conditions for asymptotic normality of convergent estimates of the conditional quantiles, irrespective of data dependence, and give an application to α-mixing stationary processes, under optimal conditions. As an application, we use asymptotic normality to construct confidence bands for predictors based on nonparametric estimates of the conditional median.
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More From: Comptes Rendus de l'Academie des Sciences Series I Mathematics
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