Averaged autoregression quantiles in autoregressive model

Abstract

This paper considers the concept of averaged autoregression quantile in autoregressive models. Our primary interest is its structure, qualities, and its applications.

Moreover, we investigate the properties of averaged autoregression quantile under the local heteroscedasticity. For an illustration, a simulation study is provided.

Keywords

• Autoregressive model
• local heteroscedasticity
• quantile autoregression