Smooth estimate of quantiles under association

Zongwu Cai () and George G. Roussas

Statistics & Probability Letters, 1997, vol. 36, issue 3, 275-287

Abstract: Let X1,X2,... be real-valued random variables forming a strictly stationary sequence, and satisfying the basic requirement of being positively or negatively associated. Let [xi]p denote the pth quantile of the marginal distribution function of the Xi's, which is estimated by a smooth (kernel-type) estimate , on the basis of the segment X1,..., Xn. The main results of this paper are those of establishing pointwise consistency, asymptotic normality with rates, and weak convergence of a stochastic process generated by .

Keywords: Berry-Esséen; bounds; Negative; association; Positive; association; Smooth; estimate; Strict; stationarity; Strong; consistency; Weak; convergence (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (11)

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