Normal limits, nonnormal limits, and the bootstrap for quantiles of dependent data

We will show under very weak conditions on differentiability and dependence that the central limit theorem for quantiles holds and that the block bootstrap is weakly consistent. Under slightly stronger conditions, the bootstrap is strongly consistent. Without the differentiability condition, quantiles might have a nonnormal asymptotic distribution and the bootstrap might fail.

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Year of publication:	2013
Authors:	Sharipov, Olimjon Sh. ; Wendler, Martin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 4, p. 1028-1035
Publisher:	Elsevier
Subject:	Quantiles \| Strong mixing \| Block bootstrap

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010662329