The Bahadur representation for sample quantiles under weak dependence

DOI10.1016/J.SPL.2005.12.021MaRDI QIDQ2494879zbMATH OpenOpenAlexFDO

Authors Shuxia Sun

Publication date 30 June 2006

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

Full work available at URL https://doi.org/10.1016/j.spl.2005.12.021

zbMATH Keywords

Bahadur representationsample quantilestrongly mixing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

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Cites work

• A Note on Quantiles in Large Samples
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3359489 (Why is no real title available?)
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• On deviations between empirical and quantile processes for mixing random variables
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables

Cited in

(35)

• Weak convergence of the remainder term in the Bahadur representation of extreme quantiles
• A note on bias and mean squared error in steady-state quantile estimation
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
• Normal limits, nonnormal limits, and the bootstrap for quantiles of dependent data
• The Bahadur representation for sample quantiles under dependent sequence
• Bahadur representations for bootstrap quantiles
• Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
• Multivariate generalized linear-statistics of short range dependent data
• The Bahadur representation of sample quantiles for weakly dependent sequences
• Some probability inequalities of least-squares estimator in non linear regression model with strong mixing errors
• Testing independence in linear process with non-normal innovations
• Berry-Esséen bound of sample quantiles for negatively associated sequence
• scientific article; zbMATH DE number 124288 (Why is no real title available?)
• On the Bahadur - Kiefer Representation for Intermediate Sample Quantiles
• The Bahadur representation of sample quantiles for -mixing random variables and its application
• On the Bahadur representation of sample quantiles for ψ-mixing sequences and its application
• A note on the Berry-Esseen bound of sample quantiles for \(\varphi\)-mixing sequence
• scientific article; zbMATH DE number 6438553 (Why is no real title available?)
• Bahadur representation for U-quantiles of dependent data
• The Bahadur representation for sample quantiles under strongly mixing sequence
• Modeling long term return distribution and nonparametric market risk estimation
• Some improved results on Berry–Esséen bounds for strong mixing random variables and applications
• A remark on the Bahadur representation of sample quantiles for negatively associated sequences
• The Berry-Esséen type bound of sample quantiles for strong mixing sequence
• The Bahadur representation for empirical and smooth quantile estimators under association
• Some practical and theoretical issues related to the quantile estimators
• Powerful Backtests for Historical Simulation Expected Shortfall Models
• On the Bahadur representation of sample quantiles for ρ -mixing random variables
• The Bahadur representation for sample quantiles of -mixing random variables
• Moderate deviation principles of the deviation between sample quantiles and the quantile for -mixing sequences
• On Bahadur representation for sample quantiles under -mixing sequence
• A note on the Bahadur representation of sample quantiles for \(\alpha \)-mixing random variables
• A nonparametric measure of heteroskedasticity
• The Bahadur representation for sample quantiles under negatively associated sequence
• Bahadur representation of linear kernel quantile estimator of VaR under -mixing assumptions

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