BOOTSTRAP UNIFORM CONFIDENCE BANDS FOR A LOCAL LINEAR NONPARAMETRIC ESTIMATOR AND APPLICATIONS TO FINANCIAL RISK MANAGEMENT

  • O. K. O. K. Ananda Department of Statistics and Actuarial Sciences, Jomo Kenyatta University of Agriculture and Technology, Naiorbi, Kenya
  • P. N. Mwita Department of Statistics and Actuarial Sciences, Jomo Kenyatta University of Agriculture and Technology, Naiorbi, Kenya
Keywords: Quantile estimation, bootstrap, local linear, consistency

Abstract

This paper considers the problem of bootstrapping a local linear estimator in conditional quantile estimation of a
financial time series assuming independent and identically distributed errors. A nonparametric regression
bootstrap generating process is estimated, then bootstrap confidence bands fitted to the quantile estimates.
Under appropriate assumptions, the local linear bootstrap estimator is known to be consistent.

Published
2019-05-15