Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences

DOI10.1214/009053606000000164zbMATH Open1113.60034arXivmath/0607046OpenAlexW2134641264MaRDI QIDQ2497191FDOQ2497191

Authors: Lihong Wang, Miklós Csörgo, Barbara Szyszkowicz 

Publication date: 3 August 2006

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

Abstract: In this paper we study strong approximations (invariance principles) of the sequential uniform and general Bahadur--Kiefer processes of long-range dependent sequences. We also investigate the strong and weak asymptotic behavior of the sequential Vervaat process, that is, the integrated sequential Bahadur--Kiefer process, properly normalized, as well as that of its deviation from its limiting process, the so-called Vervaat error process. It is well known that the Bahadur--Kiefer and the Vervaat error processes cannot converge weakly in the i.i.d. case. In contrast to this, we conclude that the Bahadur--Kiefer and Vervaat error processes, as well as their sequential versions, do converge weakly to a Dehling--Taqqu type limit process for certain long-range dependent sequences.

Full work available at URL: https://arxiv.org/abs/math/0607046

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zbMATH Keywords

long-range dependencestrong invariance principlessequential Bahadur-Kiefer processsequential empirical and quantile processessequential Vervaat and Vervaat error processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18)

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Cited In (11)

• On nonparametric density estimation for multivariate linear long-memory processes
• Correction to: ``Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences
• Title not available (Why is that?)
• Kernel type smoothed quantile estimation under long memory
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• Empirical process of long-range dependent sequences when parameters are estimated
• Strong approximations for long memory sequences based partial sums, counting and their Vervaat processes
• Weak convergence of Vervaat and Vervaat error processes of long-range dependent sequences
• Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences

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