Nonparametric Quantile Regression with
Heavy-Tailed and Strongly Dependent Errors

Toshio Honda

December 2010
(Revised: July 2011)


We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate the asymptotic properties. It is shown that the asymptotic properties are affected by both the time dependence and the tail index of the errors. The results of a small simulation study are also given.

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