The Bahadur representation for sample quantiles under weak dependence
AbstractIn this paper, we give a Bahadur representation of sample quantiles based on strongly mixing random variables under polynomially decaying rate. Our results extend Theorems 1 and 2 of Yoshihara [1995. The Bahadur representation of sample quantile for sequences of strongly mixing random variables. Statist. Probab. Lett. 24, 299-304].
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 76 (2006)
Issue (Month): 12 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Yoshihara, Ken-ichi, 1995. "The Bahadur representation of sample quantiles for sequences of strongly mixing random variables," Statistics & Probability Letters, Elsevier, vol. 24(4), pages 299-304, September.
- Babu, Gutti Jogesh & Singh, Kesar, 1978. "On deviations between empirical and quantile processes for mixing random variables," Journal of Multivariate Analysis, Elsevier, vol. 8(4), pages 532-549, December.
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- Escanciano, Juan Carlos & Pei, Pei, 2012.
"Pitfalls in backtesting Historical Simulation VaR models,"
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