Weak convergence of quantile and expectile processes under general assumptions

DOI10.3150/19-BEJ1127MaRDI QIDQ2278664zbMATH OpenOpenAlexFDO

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, https://projecteuclid.org/euclid.bj/1574758830

zbMATH Keywords

epi- and hypo-convergenceexpectile processquantile processweak convergence

Mathematics Subject Classification ID

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

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.

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Cited in

(10)

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

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