Limit theorems for functions of marginal quantiles

DOI10.3150/10-BEJ287MaRDI QIDQ453296zbMATH OpenOpenAlexFDO

Authors Kwok Pui Choi, Vasudevan Mangalam, G. Jogesh Babu, Zhidong Bai

Publication date 19 September 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.4396, https://projecteuclid.org/euclid.bj/1302009242

zbMATH Keywords

central limit theoremquantilesstrong law of large numberslost associationweak convergence of a processCramér-Wold device

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Abstract: Multivariate distributions are explored using the joint distributions of marginal sample quantiles. Limit theory for the mean of a function of order statistics is presented. The results include a multivariate central limit theorem and a strong law of large numbers. A result similar to Bahadur's representation of quantiles is established for the mean of a function of the marginal quantiles. In particular, it is shown that [sqrt{n}Biggl(frac{1}{n}sum_{i=1}^nphi�igl(X_{n:i}^{(1)},...,X_{n:i}^{(d)}�igr)-�ar{gamma}Biggr)=frac{1}{sqrt{n}}sum_{i=1}^nZ_{n,i}+mathrm{o}_P(1)] as $nightarrowinfty$, where $$ is a constant and $Z_{n,i}$ are i.i.d. random variables for each $n$. This leads to the central limit theorem. Weak convergence to a Gaussian process using equicontinuity of functions is indicated. The results are established under very general conditions. These conditions are shown to be satisfied in many commonly occurring situations.

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