On sample 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.

MoreLess

Year of publication:	2013
Authors:	Dominicy, Yves ; Hörmann, Siegfried ; Ogata, Hiroaki ; Veredas, David
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 28-36
Publisher:	Elsevier
Subject:	Quantiles \| S-mixing

More details

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

Persistent link: https://www.econbiz.de/10011039999