Marginal quantiles for stationary processes

We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given

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Year of publication:	2012-07
Authors:	Dominicy, Yves ; Hörmann, Siegfried ; Veredas, David ; Ogata, Hiroaki
Institutions:	Banco de España
Subject:	Quantiles \| S-mixing

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Extent:	application/pdf
Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1228 20 pages
Classification:	C01 - Econometrics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010687524