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

strong approximationlinear processeslong range dependencequantile processesBahadur-Kiefer process

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.

Recommendations

• Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences
• LINEARIZATION OF RANDOMLY WEIGHTED EMPIRICALS UNDER LONG RANGE DEPENDENCE WITH APPLICATIONS TO NONLINEAR REGRESSION QUANTILES
• Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
• Regression quantiles and related processes under long range dependent errors
• Sample quantiles for locally dependent processes

Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 3820918 (Why is no real title available?)
• scientific article; zbMATH DE number 3949394 (Why is no real title available?)
• scientific article; zbMATH DE number 1194782 (Why is no real title available?)
• scientific article; zbMATH DE number 16081 (Why is no real title available?)
• scientific article; zbMATH DE number 1944032 (Why is no real title available?)
• scientific article; zbMATH DE number 1944033 (Why is no real title available?)
• scientific article; zbMATH DE number 1959491 (Why is no real title available?)
• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• A Note on Quantiles in Large Samples
• Central limit theorem for the empirical process of a linear sequence with long memory
• Empirical processes of long-memory sequences
• Nonparametric Statistical Data Modeling
• On Bahadur's Representation of Sample Quantiles
• On the Bahadur representation of sample quantiles for dependent sequences
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Stable limits of empirical processes of moving averages with infinite variance.
• Stable limits of sums of bounded functions of long memory moving averages with finite variance
• Strong approximation for long memory processes with applications
• Strong approximations of the quantile process
• Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences
• Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance
• Trimmed sums of long range dependent moving averages
• Weak convergence of Vervaat and Vervaat error processes of long-range dependent sequences

Cited in

(9)

• On robust tail index estimation for linear long-memory processes
• On nonparametric density estimation for multivariate linear long-memory processes
• Simultaneous quantile inference for non-stationary long-memory time series
• Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
• Testing for the expected number of exceedances in strongly dependent seasonal time series
• Strong approximations for long memory sequences based partial sums, counting and their Vervaat processes
• scientific article; zbMATH DE number 1194782 (Why is no real title available?)
• Strong invariance principles for sequential Bahadur-Kiefer and Vervaat error processes of long-range dependent sequences
• The Bahadur representation for empirical and smooth quantile estimators under association

This page was built for publication: Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q946481)