Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences

DOI10.1007/S00440-007-0107-9MaRDI QIDQ946481zbMATH OpenOpenAlexFDO

Authors Miklós Csörgo, Rafał Kulik

Publication date 23 September 2008

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.1025

zbMATH Keywords

Bahadur-Kiefer processlinear processeslong range dependencequantile processesstrong approximation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Abstract: In this paper we consider quantile and Bahadur-Kiefer processes for long range dependent linear sequences. These processes, unlike in previous studies, are considered on the whole interval $(0,1)$. As it is well-known, quantile processes can have very erratic behavior on the tails. We overcome this problem by considering these processes with appropriate weight functions. In this way we conclude strong approximations that yield some remarkable phenomena that are not shared with i.i.d. sequences, including weak convergence of the Bahadur-Kiefer processes, a different pointwise behavior of the general and uniform Bahadur-Kiefer processes, and a somewhat "strange" behavior of the general quantile process.

Review text

The authors investigate quantile and Bahadur-Kiefer (BK) processes for long-range dependent (LRD) linear sequences \(X_i=\sum_{k=0}^\infty c_k \varepsilon_{i-k}\), where \((c_k)\) is regularly varying of index \(-1<\beta<-1/2\) and \((\varepsilon_k)\) is a centered i.i.d. sequence. For general BK-processes the usual approach for i.i.d. random variables \((X_i)\) is to approximate by uniform quantiles and to use the results valid for these. This does not work in the LRD case and the authors consider appropriate weight functions for the processes instead. Remarkably, unlike in previous studies, this allows to consider the uniform quantile and BK-processes on the whole interval \((0,1)\), although the tails of the quantile process can have a very erratic behavior. Various strong approximations are given, where the rate of convergence depends on whether \(\beta\leq-3/4\) or \(\beta>-3/4\) for the uniform quantile process, respectively \(\beta\leq-2/3\) or \(\beta>-2/3\) for the BK-processes. The study yields to some phenomena that cannot be obtained in the case of i.i.d. random variables \((X_i)\). These phenomena include weak convergence of the BK-process and a different almost sure behavior of the general and the uniform BK-processes.

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Cited in

(10)

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• Simultaneous quantile inference for non-stationary long-memory time series
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