Weak convergence of quantile and expectile processes under general assumptions

DOI10.3150/19-BEJ1127MaRDI QIDQ2278664zbMATHOpenAlexFDO

Authors Tobias Zwingmann, Hajo Holzmann

Publication date 5 December 2019

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.04668

zbMATH Keywords

weak convergencequantile processepi- and hypo-convergenceexpectile process

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

Abstract: We show weak convergence of quantile and expectile processes to Gaussian limit processes in the space of bounded functions endowed with an appropriate semimetric which is based on the concepts of epi- and hypo convergence as introduced in citet{buecher2014}. We impose assumptions for which it is known that weak convergence with respect to the supremum norm or the Skorodhod metric generally fails to hold. For expectiles, we only require a distribution with finite second moment but no further smoothness properties of distribution function, for quantiles, the distribution is assumed to be absolutely continuous with a version of its Lebesgue density which is strictly positive and has left- and right-sided limits. We also show consistency of the bootstrap for this mode of convergence.

Recommendations

• scientific article; zbMATH DE number 3949394
• Weak convergence of smoothed and nonsmoothed bootstrap quantile estimates
• An Elementary Approach to Weak Convergence for Quantile Processes, With Applications to Censored Survival Data
• Weak convergence of the weighted empirical quantile process in \(L^ 2(0,1)\)
• scientific article; zbMATH DE number 4126407

Cites work

• scientific article; zbMATH DE number 5200011 (Why is no real title available?)
• Asymmetric Least Squares Estimation and Testing
• Asymptotic Statistics
• Bootstrapping sample quantiles in non-regular cases
• Bootstraps for time series
• Coherence and elicitability
• Expectile asymptotics
• Generalized quantiles as risk measures
• New techniques for empirical processes of dependent data
• Quantitative risk management. Concepts, techniques and tools
• Theory of Random Sets
• Weak convergence and empirical processes. With applications to statistics
• Weak convergence of quantile and expectile processes under general assumptions
• When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs

Cited in

(8)

• On equivalence of weak convergence and moment convergence of life distributions
• Note on the weak convergence of hyperplane \(\alpha\)-quantile functionals and their continuity in the Skorokhod J1 topology
• Weak convergence of the remainder term in the Bahadur representation of extreme quantiles
• A class of distortion measures generated from expectile and its estimation
• scientific article; zbMATH DE number 176092 (Why is no real title available?)
• Weak approximation of \(G\)-expectations
• Weak convergence of quantile and expectile processes under general assumptions
• Weak approximations for quantile processes of stationary sequences

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Weak convergence of quantile and expectile processes under general assumptions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2278664)