A Berry-Esseen theorem for sample quantiles under weak dependence

DOI10.1214/08-AAP533zbMATH Open1158.60007arXiv0902.4796OpenAlexW3099558719MaRDI QIDQ1009481FDOQ1009481

Authors: Soumendra N. Lahiri, Shuxia Sun 

Publication date: 2 April 2009

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

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.

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

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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)

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Cited In (24)

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• Uniformly asymptotic normality of sample quantiles estimator for linearly negative quadrant dependent samples
• A note on the Berry-Esseen bound of sample quantiles for \(\varphi\)-mixing sequence
• Multivariate generalized linear-statistics of short range dependent data
• Estimation of the quantile function using Bernstein–Durrmeyer polynomials
• The Berry-Esséen type bound of sample quantiles for strong mixing sequence
• A Berry-Esseen theorem for sample quantiles under association
• The Bahadur representation of sample quantiles for weakly dependent sequences
• Berry-Esséen bound of sample quantiles for \(\varphi \)-mixing random variables
• Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences
• Berry-Esseen bounds for Chernoff-type nonstandard asymptotics in isotonic regression
• Berry–Esséen theorem for sample quantiles of asymptotically uncorrelated non reversible Markov chains
• A quantile-based test for symmetry of weakly dependent processes
• The Berry-Esseen bound for \(\rho\)-mixing random variables and its applications in nonparametric regression model
• Moderate and large deviations for the smoothed estimate of sample quantiles
• Large and moderate deviation principles for the bootstrap sample quantile
• Optimal rate of convergence for empirical quantiles and distribution functions for time series
• Some probability inequalities of least-squares estimator in non linear regression model with strong mixing errors
• Berry-Esseen bounds for econometric time series
• The Bahadur representation for sample quantiles under dependent sequence
• Some improved results on Berry–Esséen bounds for strong mixing random variables and applications
• The Bahadur representation for empirical and smooth quantile estimators under association
• The Berry-Esséen bound of sample quantiles for NA sequence
• Berry-Esséen bound of sample quantiles for negatively associated sequence

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