Extreme Quantile Estimation for Autoregressive Models

2017-11-30T21:40:42Z (GMT) by Deyuan Li Huixia Judy Wang
<p>Quantile autoregresive model is a useful extension to classical autoregresive models as it can capture the influences of conditioning variables on the location, scale and shape of the response distribution. However, at the extreme tails, standard quantile autoregression estimator is often unstable due to data sparsity. In this paper, assuming quantile autoregresive models, we develop a new estimator for extreme conditional quantiles of time series data based on extreme value theory. We build the connection between the second-order conditions for the autoregression coefficients and for the conditional quantile functions, and establish the asymptotic properties of the proposed estimator. The finite sample performance of the proposed method is illustrated through a simulation study and the analysis of US retail gasoline price.</p>