On sample marginal quantiles for stationary processes

Yves Dominicy, Siegfried Hörmann, Hiroaki Ogata and David Veredas

Statistics & Probability Letters, 2013, vol. 83, issue 1, 28-36

Abstract: We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given.

Keywords: Quantiles; S-mixing (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2012.07.016

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