A note on quantile estimation for long-range dependent stochastic processes

É. Youndjé and P. Vieu

Statistics & Probability Letters, 2006, vol. 76, issue 2, 109-116

Abstract: This note investigates the consistency properties of the kernel-type estimator of a quantile, in the setting of a long memory stationary stochastic process. Under a general long-range dependence situation (without any restriction of gaussian type) we give consistency results, and rates of convergence. An interesting by-product of this paper is a new consistency result for kernel-type estimator of a smooth distribution function (with rates) over the whole real line.

Keywords: Long; memory; Quantile; estimation; Kernel; estimation; Rates; of; convergence (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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