Estimates of quantile functions for the unobservable error term Z in an autoregressive model are constructed from observed data X via R-estimators of coefficients combined with autoregression quantiles.
Statistics and Public Policy 3(1): 1–19
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Estimation of the Risk Measure under a Nuisance Autoregression
Estimates of quantile functions for the unobservable error term Z in an autoregressive model are constructed from observed data X via R-estimators of coefficients combined with autoregression quantiles.