Boundary crossing random variables related to quantile convergence

Ralph P. Russo and Chern-Ching Chao

Statistics & Probability Letters, 1987, vol. 6, issue 2, 117-123

Abstract: Let X1, X2, ... be a sequence of independent random variables with distribution F. Suppose that 0 O+ sufficiently slowly then and L(b(n)) = sup {n:[zeta]p,n - [zeta]p > b(n)} are finite with probability one. In this paper we investigate the moment behavior of N and L for sequences b(n) approaching zero at a variety of rates.

Keywords: sample; quantiles; boundary; crossings; law; of; the; iterated; logarithm; for; quantiles (search for similar items in EconPapers)
Date: 1987
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