On the Bahadur representation of sample quantiles for dependent sequences

DOI10.1214/009053605000000291zbMATH Open1080.62024arXivmath/0508313OpenAlexW2009326110MaRDI QIDQ2583423FDOQ2583423

Authors: Wei Biao Wu 

Publication date: 16 January 2006

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

Abstract: We establish the Bahadur representation of sample quantiles for linear and some widely used nonlinear processes. Local fluctuations of empirical processes are discussed. Applications to the trimmed and Winsorized means are given. Our results extend previous ones by establishing sharper bounds under milder conditions and thus provide new insight into the theory of empirical processes for dependent random variables.

Full work available at URL: https://arxiv.org/abs/math/0508313

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• scientific article; zbMATH DE number 2099469

zbMATH Keywords

nonlinear time seriesempirical processesalmost sure convergencelaw of the iterated logarithmlinear processmartingale inequalitieslong- and short range dependence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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Cited In (62)

• Bahadur representation of sample quantiles for a functional of Gaussian dependent sequences under a minimal assumption
• \(M\)-estimation of linear models with dependent errors
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