Abstract
Let (X-i, Y-i)(i=1, ... , n) be a sequence of strongly mixing random variables valued in F x R, where F is a semi-metric space. We consider the problem of estimating the quantile regression function of Y-i given X-i. The principal aim of the article is to prove the consistency in L-p norm of the proposed kernel estimate. The usefulness of the estimation is illustrated by a real data application where we are interested in forecasting hourly ozone concentration in the south-east of French.