Bahadur representation for U-quantiles of dependent data

Martin Wendler

Journal of Multivariate Analysis, 2011, vol. 102, issue 6, 1064-1079

Abstract: U-quantiles are applied in robust statistics, like the Hodges-Lehmann estimator of location for example. They have been analysed in the case of independent random variables with the help of a generalized Bahadur representation. Our main aim is to extend these results to U-quantiles of strongly mixing random variables and functionals of absolutely regular sequences. We obtain the central limit theorem and the law of the iterated logarithm for U-quantiles as straightforward corollaries. Furthermore, we improve the existing result for sample quantiles of mixing data.

Keywords: Quantiles; U-statistics; Strong; mixing; Absolute; regularity (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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