The aim of this paper is to estimate nonparametrically the conditional quantile density function. A non-parametric estimator of a conditional quantile function density is presented, its asymptotic properties are derived via the estimation of the conditional distribution, as of the conditional quantile in the case of dependent data. To obtain the asymptotic properties we consider some concentration hypotheses acting on the distribution of the conditional functional variable.
Angelika Bouchentouf, Amina; Hammou, Yassine; Nedjadi, Khadidja; and Rabhi, Abbes
"Nonparametric Estimation of a Conditional Quantile Density Function for Time Series Data,"
Journal of Statistics Applications & Probability: Vol. 4
, Article 2.
Available at: https://dc.naturalspublishing.com/jsap/vol4/iss1/2