The Bahadur representation for sample quantiles under dependent sequence (Q2274175): Difference between revisions

In [Ann. Math. Stat. 37, 577--580 (1966; Zbl 0147.18805)], \textit{R. R. Bahadur} firstly introduced an elegant representation for sample quantile in terms of empirical distribution function based on independent and identically distributed (i.i.d.) random variables. Definition: A random variable sequence \( \{X_n , n \geq 1 \} \) is said to be a \( \varphi \)-mixing random variable sequence if \( \varphi \downarrow 0\) as \(n \rightarrow +\infty \). When \( \varphi (n) = O(n^{-3}) \), then the rate of the Bahadur representation is \( O(n^{-3/4} \log n) \) a.s. On the other hand, by relaxing the condition of mixing coefficients to \( \sum_{n=1}^{+ \infty} \varphi^\frac{1}{2} (n) < + \infty \), a rate \( O(n^{-1/2} (\log n)^\frac{1}{2}) \) a.s. is also obtained. These results are remarkable.