Limit theorems for functions of marginal quantiles

DOI10.3150/10-BEJ287zbMATH Open1253.60024arXiv1104.4396OpenAlexW3105353353MaRDI QIDQ453296FDOQ453296

Authors: Kwok Pui Choi, Vasudevan Mangalam, G. Jogesh Babu, Zhidong Bai 

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Multivariate distributions are explored using the joint distributions of marginal sample quantiles. Limit theory for the mean of a function of order statistics is presented. The results include a multivariate central limit theorem and a strong law of large numbers. A result similar to Bahadur's representation of quantiles is established for the mean of a function of the marginal quantiles. In particular, it is shown that [sqrt{n}Biggl(frac{1}{n}sum_{i=1}^nphi�igl(X_{n:i}^{(1)},...,X_{n:i}^{(d)}�igr)-�ar{gamma}Biggr)=frac{1}{sqrt{n}}sum_{i=1}^nZ_{n,i}+mathrm{o}_P(1)] as $nightarrowinfty$, where $$ is a constant and $Z_{n,i}$ are i.i.d. random variables for each $n$. This leads to the central limit theorem. Weak convergence to a Gaussian process using equicontinuity of functions is indicated. The results are established under very general conditions. These conditions are shown to be satisfied in many commonly occurring situations.

Full work available at URL: https://arxiv.org/abs/1104.4396

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zbMATH Keywords

central limit theoremquantilesstrong law of large numberslost associationweak convergence of a processCramér-Wold device

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cited In (4)

• Joint asymptotic distribution of marginal quantiles and quantile functions in samples from a multivariate population
• Title not available (Why is that?)
• Limit theorems for lower-upper extreme values from two-dimensional distribution function
• Limit theorems for quantile and depth regions for stochastic processes

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