Marginal Quantiles for Stationary Processes
Universite Libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES
Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES
Université Libre de Bruxelles (ULB) - Department of Mathematics
June 4, 2012
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-mixingworking papers series
Date posted: June 4, 2012
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