On the tail behaviour of quantile processes
Stochastic Processes and their Applications, 1987, vol. 25, 57-72
We consider the asymptotic distributions of suprema of heavily weighted quantile processes. We give representations of the limiting random variables in terms of partial sums of independent exponentially distributed random variables and Poisson process. There are three different types of limiting distributions depending on the domain of attraction of extreme value distributions.
Keywords: quantile; process; extreme; value; theory; slowly; varying; functions; Poisson; process; Renyi; statistics (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:25:y:1987:i::p:57-72
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