Normal limits, nonnormal limits, and the bootstrap for quantiles of dependent data

DOI10.1016/J.SPL.2012.12.017zbMATH Open1489.62153arXiv1204.5633OpenAlexW2963746692MaRDI QIDQ1950744FDOQ1950744

Martin Wendler, O. Sh. Sharipov

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We will show under very weak conditions on differentiability and dependence that the central limit theorem for quantiles holds and that the block bootstrap is weakly consistent. Under slightly stronger conditions, the bootstrap is strongly consistent. Without the differentiability condition, quantiles might have a non-normal asymptotic distribution and the bootstrap might fail.

Full work available at URL: https://arxiv.org/abs/1204.5633

zbMATH Keywords

quantilesblock bootstrapstrong mixing

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10)

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Cited In (8)

• A Quantile‐based Test for Symmetry of Weakly Dependent Processes
• Dependent Wild Bootstrap for the Empirical Process
• The Bahadur representation of sample quantiles for weakly dependent sequences
• Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences
• Normality tests for dependent data: large-sample and bootstrap approaches
• Tests for Scale Changes Based on Pairwise Differences
• Bootstrapping sample quantiles of discrete data
• Title not available (Why is that?)

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