On the tail behaviour of quantile processes

DOI10.1016/0304-4149(87)90189-XMaRDI QIDQ1092511zbMATH OpenOpenAlexFDO

Authors Lajos Horváth

Publication date 1987

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

Full work available at URL https://doi.org/10.1016/0304-4149(87)90189-x

zbMATH Keywords

domains of attractionextreme value theorylimit theorems for the tail of quantile processesquantile function

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Sample path properties (60G17) Order statistics; empirical distribution functions (62G30)

Review text

For a distribution function F(x), let \(Q(t)=Q_ F(t)=\inf \{x:F(x)\geq t\}\), \(0<t<1\). Let \(X_ 1,X_ 2,...,X_ n\) be independent random variables with common distribution function F(x). Let \(X_{1:n}\leq X_{2:n}\leq...\leq X_{n:n}\) be the order statistics of the \(X_ j\), and let \(Q_ n(t)=X_{k:n}\) if \((k-1)/n<t\leq k/n\). Let \(k_ n\to +\infty\) with n and \(k_ n/n\to 0\) as \(n\to +\infty.\) The author investigates the relation of \(Q_ n(t)\) and Q(t) in the range \(1/(n+1)\leq t\leq k_ n/n\), and characterizes the limit behaviour of some function of \(Q_ n(t)\) and Q(t) in the light of extreme value theory for the minimum.

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Cited in

(12)

• Extremal point processes and intermediate quantile functions
• A pure-tail ordering based on the ratio of the quantile functions
• Generalized quantile processes
• Limit theorems for tail processes with application to intermediate quantile estimation
• Approximation of intermediate quantile processes
• Kac's representation from an asymptotic viewpoint
• Sample quantiles of heavy tailed stochastic processes
• Estimates for order statistics in terms of quantiles
• On quantile processes for m-dependent Rv's
• Compound Poisson approximation for extremes of moving minima in arrays of independent random variables
• Tail processes and tail measures: an approach via Palm calculus
• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics

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