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Marginal Quantiles for Stationary Processes


David Veredas


Universite Libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES

Yves Dominicy


Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES

Siegfried Hormann


Université Libre de Bruxelles (ULB) - Department of Mathematics

Hiroaki Ogata


Waseda University
June 4, 2012


Abstract:     
We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given.

Number of Pages in PDF File: 12

Keywords: Quantiles, S-mixing

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Date posted: June 4, 2012  

Suggested Citation

Veredas, David, Dominicy, Yves, Hormann, Siegfried and Ogata, Hiroaki, Marginal Quantiles for Stationary Processes (June 4, 2012). Available at SSRN: http://ssrn.com/abstract=2076056 or http://dx.doi.org/10.2139/ssrn.2076056

Contact Information

David Veredas (Contact Author)
Universite Libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES ( email )
Av. Franklin D Roosevelt 50
CP114
B-1050 Brussels, 1050
Belgium
+3226504218 (Phone)
+3226504275 (Fax)
HOME PAGE: http://www.ecares.org/veredas.html
Yves Dominicy
Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES ( email )
19 Av Franklin Roosevelt
1050
Brussels
Belgium
Siegfried Hormann
Université Libre de Bruxelles (ULB) - Department of Mathematics ( email )
Brussels
Belgium
Hiroaki Ogata
Waseda University ( email )
Okhubo Campus, Shinjuku-ku, Room 59-416B
Okhubo Campus, Shinjuku-ku, Room 59-416B
tokyo, Tokyo 169-8555
Togo
Feedback to SSRN (Beta)


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