On the Bahadur representation of sample quantiles in some stationary multivariate autoregressive processes

Kalyan Dutta and Pranab Kumar Sen

Journal of Multivariate Analysis, 1971, vol. 1, issue 2, 186-198

Abstract: It is shown here that Bahadur's [Ann. Math. Statist. (1966) 37, 577-580] almost sure (a.s.) asymptotic representation of a sample quantile for independent and identically distributed random variables holds under certain regularity conditions for a general class of stationary multivariate autoregressive processes. This yields the asymptotic (multi-) normality of the standardized forms of quantiles in autoregressive processes. Other useful applications will be considered in a subsequent paper.

Keywords: Almost; sure; representation; asymptotic; normality; autoregressive; (multivariate); process; sample; quantiles (search for similar items in EconPapers)
Date: 1971
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