The Bahadur representation for sample quantiles under dependent sequence

DOI10.1007/S10255-019-0827-5MaRDI QIDQ2274175zbMATH OpenOpenAlexWikidataFDO

Authors Wenzhi Yang, Shuhe Hu, Xuejun Wang

Publication date 19 September 2019

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.04127

zbMATH Keywords

Bahadur representationmixing sequencesample quantiles

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Nonparametric regression and quantile regression (62G08)

Abstract: On the one hand, we investigate the Bahadur representation for sample quantiles under $varphi$-mixing sequence with $varphi(n)=O(n^{-3})$ and obtain a rate as $O(n^{-frac34}logn)$, $a.s.$. On the other hand, by relaxing the condition of mixing coefficients to $sumolimit{s}_{n=1}^{i}nftyvarph{i}^{1/2}(n)<infty$, a rate $O(n^{-1/2}(logn{)}^{1/2})$, $a.s.$, is also obtained.

Review text

In [Ann. Math. Stat. 37, 577--580 (1966; Zbl 0147.18805)], \textit{R. R. Bahadur} firstly introduced an elegant representation for sample quantile in terms of empirical distribution function based on independent and identically distributed (i.i.d.) random variables. Definition: A random variable sequence \( \{X_n , n \geq 1 \} \) is said to be a \( \varphi \)-mixing random variable sequence if \( \varphi \downarrow 0\) as \(n \rightarrow +\infty \). When \( \varphi (n) = O(n^{-3}) \), then the rate of the Bahadur representation is \( O(n^{-3/4} \log n) \) a.s. On the other hand, by relaxing the condition of mixing coefficients to \( \sum_{n=1}^{+ \infty} \varphi^\frac{1}{2} (n) < + \infty \), a rate \( O(n^{-1/2} (\log n)^\frac{1}{2}) \) a.s. is also obtained. These results are remarkable.

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Cites work

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• The Bahadur representation for sample quantile under NOD sequence
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• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
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• The Berry-Esséen type bound of sample quantiles for strong mixing sequence

Cited in

(18)

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• Asymptotics for the linear kernel quantile estimator
• Bahadur representations for bootstrap quantiles
• Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
• The Bahadur representation for sample quantiles under weak dependence
• The Bahadur representation of sample quantiles for weakly dependent sequences
• scientific article; zbMATH DE number 1194782 (Why is no real title available?)
• The Bahadur representation of sample quantiles for -mixing random variables and its application
• scientific article; zbMATH DE number 6438553 (Why is no real title available?)
• The Bahadur representation for sample quantiles under strongly mixing sequence
• The Bahadur representation for empirical and smooth quantile estimators under association
• Some practical and theoretical issues related to the quantile estimators
• The Bahadur representation for sample quantiles of -mixing random variables
• The Bahadur representation of the linear kernel quantile estimator under ANA random variables and its application
• Bahadur-Kiefer theory for empirical and smoothed quantiles with censored associated data
• On Bahadur representation for sample quantiles under -mixing sequence
• A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables
• Bahadur representation of sample quantiles for a functional of Gaussian dependent sequences under a minimal assumption

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