Fluctuations of the empirical quantiles of independent Brownian motions

DOI10.1016/j.spa.2010.11.012zbMath1230.60022arXiv0812.4102OpenAlexW2085549668MaRDI QIDQ550149

Jason Swanson

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.4102

zbMATH Keywords

order statisticsfractional Brownian motionquantile processfluctuations weak convergencequartic variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Brownian motion (60J65) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Related Items

Central limit theorem for a Stratonovich integral with Malliavin calculus, Limit Theorems for Quantile and Depth Regions for Stochastic Processes, A CLT for empirical processes involving time-dependent data, Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters, Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes, Empirical quantile central limit theorems for some self-similar processes

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