Cover Image

The asymptotic distribution of the unconditional quantile estimator under dependence

This paper studies the asymptotic behaviour of the unconditional quantile estimator for dependent random variables. Our proof is based on results from convex stochastic optimization and a mixing process which is specific to quantile estimation and requires only a small part of the [sigma]-algebra generated by the random variable under consideration. The joint asymptotic distribution of several quantiles is given.
Year of publication:
2005
Authors: Oberhofer, Walter ; Haupt, Harry
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 3, p. 243-250
Publisher: Elsevier
Keywords: Parametric quantile estimator Mixing Convex stochastic optimization
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005259190
Similar items by person