Marginal quantiles for stationary processes
AbstractWe 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
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1228.
Length: 20 pages
Date of creation: Jul 2012
Date of revision:
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- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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