Fluctuations of the empirical quantiles of independent Brownian motions

DOI10.1016/j.spa.2010.11.012zbMath1230.60022arXiv0812.4102MaRDI QIDQ550149

Jason Swanson

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.4102

zbMATH Keywords

order statistics; fractional Brownian motion; quantile process; fluctuations weak convergence; quartic variation

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

60J65: Brownian motion

60G17: Sample path properties

60G18: Self-similar stochastic processes

Related Items

Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters, Central limit theorem for a Stratonovich integral with Malliavin calculus, A CLT for empirical processes involving time-dependent data, Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes, Empirical quantile central limit theorems for some self-similar processes, Limit Theorems for Quantile and Depth Regions for Stochastic Processes

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