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    • Quantiles, Expectiles and Splines 

      De Rossi, Giuliano; Harvey, Andrew C. (Faculty of Economics, University of Cambridge, UK, 2007-02)
      A time-varying quantile can be fitted to a sequence of observations by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction ...
    • Time-Varying Quantiles 

      Harvey, Andrew C.; De Rossi, Giuliano (Faculty of Economics, University of Cambridge, UK, 2006-07)
      A time-varying quantile can be fitted to a sequence of observations by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction ...