dc.contributor.author |
Ananda, O. K. |
|
dc.contributor.author |
Mwita, P. N. |
|
dc.date.accessioned |
2017-04-21T08:34:10Z |
|
dc.date.available |
2017-04-21T08:34:10Z |
|
dc.date.issued |
2017-04-21 |
|
dc.identifier.isbn |
9966 923 28 |
|
dc.identifier.uri |
http://journals.jkuat.ac.ke/index.php/jscp/index |
|
dc.identifier.uri |
http://hdl.handle.net/123456789/2942 |
|
dc.description.abstract |
This paper considers the problem of bootstrapping a local linear estimator in conditional quantile estimation of a
financial time series assuming independent and identically distributed errors. A nonparametric regression
bootstrap generating process is estimated, then bootstrap confidence bands fitted to the quantile estimates.
Under appropriate assumptions, the local linear bootstrap estimator is known to be consistent. |
en_US |
dc.description.sponsorship |
JKUAT |
en_US |
dc.language.iso |
en |
en_US |
dc.publisher |
JKUAT |
en_US |
dc.relation.ispartofseries |
Scientific Conference Proceedings;2010 |
|
dc.subject |
Quantile estimation |
en_US |
dc.subject |
bootstrap |
en_US |
dc.subject |
local linear |
en_US |
dc.subject |
consistency |
en_US |
dc.title |
BOOTSTRAP UNIFORM CONFIDENCE BANDS FOR A LOCAL LINEAR NONPARAMETRIC ESTIMATOR AND APPLICATIONS TO FINANCIAL RISK MANAGEMENT |
en_US |
dc.type |
Article |
en_US |