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 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...

In this article we consider a CHARME model, a class of generalized mixture of nonlinear nonparametric AR-ARCH time series. To provide sets of conditions under which such processes are geometrically ergodic and, therefore, satisfy some mixing conditions, we apply the theory of Markov chains to...

We consider a generalized mixture of nonlinear AR models, a hidden Markov model for which the autoregressive functions are single layer feedforward neural networks. The nontrivial problem of identifiability, which is usually postulated for hidden Markov models, is addressed here.

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...