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:	2012-06
Authors:	Veredas, David ; Dominicy, Yves ; Hörmann, Siegfried ; Ogata, Hiroaki
Institutions:	European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
Subject:	Quantiles \| S-mixing

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Extent:	application/pdf
Series:	Working Papers ECARES.
Type of publication:	Book / Working Paper
Notes:	Published by: The text is part of a series ECARES Working Papers Number ECARES 2012-018 12 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010551731