Empirical quantile CLTs for time-dependent data

DOI10.1007/978-3-0348-0490-5_11MaRDI QIDQ2840337zbMATHOpenAlexFDO

Authors Jim Kuelbs, Joel Zinn

Publication date 18 July 2013

Published in Progress in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.4591

zbMATH Keywords

empirical processescentral limit theorem (CLT)empirical quantile processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: We establish empirical quantile process CLTs based on $n$ independent copies of a stochastic process $X_t:tinE$ that are uniform in $tinE$ and quantile levels $alphainI$, where $I$ is a closed sub-interval of $(0,1)$. Typically $E=[0,T]$, or a finite product of such intervals. Also included are CLT's for the empirical process based on $I_{X_{t}ley}-mPr(X_{t}ley):tinE,yinR$ that are uniform in $tinE,yinR$. The process $X_t:tinE$ may be chosen from a broad collection of Gaussian processes, compound Poisson processes, stationary independent increment stable processes, and martingales.

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• Conditional empirical, quantile and difference processes for a large class of time series with applications
• Couplings and strong approximations to time-dependent empirical processes based on i.i.d. fractional Brownian motions
• Half-region depth for stochastic processes
• A CLT for empirical processes involving time-dependent data
• Bahadur-Kiefer representations for time dependent quantile processes
• Convergence of quantile and depth regions
• Empirical quantile central limit theorems for some self-similar processes
• Limit theorems for quantile and depth regions for stochastic processes

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