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Abstract

In this paper, the kernel estimation of the conditional quantiles for a strictly stationary stochastic process satisfying the strong mixing condition, which was proposed by Abberger (1997) is studied. Under some mild conditions, the joint asymptotic normality of the kernel estimation of several conditional quantiles estimated at the same conditional point and the joint asymptotic normality of the kernel estimation of the same conditional quantile estimated at different conditional points are established. The performance of the estimations is tested by an application for a real life data .