A Berry-Esseen theorem for sample quantiles under weak dependence

DOI10.1214/08-AAP533MaRDI QIDQ1009481zbMATH OpenOpenAlexFDO

Authors Soumendra N. Lahiri, Shuxia Sun

Publication date 2 April 2009

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0902.4796

zbMATH Keywords

normal approximationstrong mixingquantile hedgingstationary

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Abstract: This paper proves a Berry--Esseen theorem for sample quantiles of strongly-mixing random variables under a polynomial mixing rate. The rate of normal approximation is shown to be $O(n^{-1/2})$ as $noinfty$, where $n$ denotes the sample size. This result is in sharp contrast to the case of the sample mean of strongly-mixing random variables where the rate $O(n^{-1/2})$ is not known even under an exponential strong mixing rate. The main result of the paper has applications in finance and econometrics as financial time series data often are heavy-tailed and quantile based methods play an important role in various problems in finance, including hedging and risk management.

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Cited in

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• Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences
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