Bahadur representation of sample quantiles for a functional of Gaussian dependent sequences under a minimal assumption

DOI10.1016/J.SPL.2008.02.037MaRDI QIDQ951205zbMATH OpenOpenAlexFDO

Authors Jean-François Coeurjolly

Publication date 30 October 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702440

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of nonparametric inference (62G20)

Abstract: We obtain a Bahadur representation for sample quantiles of nonlinear functional of Gaussian sequences with correlation function decreasing as $k^{-alpha}$ for some $alpha>0$. This representation is derived under a mimimal assumption.

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Cites work

• A Bahadur-type representation for empirical quantiles of a large class of stationary, possibly infinite-variance, linear processes
• A New Proof of the Bahadur Representation of Quantiles and an Application
• A Note on Quantiles in Large Samples
• Central limit theorems for non-linear functionals of Gaussian fields
• scientific article; zbMATH DE number 3778509 (Why is no real title available?)
• scientific article; zbMATH DE number 3359489 (Why is no real title available?)
• On Bahadur's Representation of Sample Quantiles
• On the asymptotic expansion of the empirical process of long-memory moving averages
• On the Bahadur representation of sample quantiles for dependent sequences
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
• The empirical process of some long-range dependent sequences with an application to U-statistics

Cited in

(2)

• Simultaneous quantile inference for non-stationary long-memory time series
• Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context

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