Weak convergence of quantile and expectile processes under general assumptions

DOI10.3150/19-BEJ1127zbMATH Open1443.62113arXiv1706.04668OpenAlexW2990975738MaRDI QIDQ2278664FDOQ2278664

Authors: Tobias Zwingmann, Hajo Holzmann 

Publication date: 5 December 2019

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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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)

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Cited In (7)

• Weak convergence of the remainder term in the Bahadur representation of extreme quantiles
• Weak convergence of quantile and expectile processes under general assumptions
• Title not available (Why is that?)
• Weak approximations for quantile processes of stationary sequences
• On equivalence of weak convergence and moment convergence of life distributions
• Weak approximation of \(G\)-expectations
• A class of distortion measures generated from expectile and its estimation

Uses Software

• QRM

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