Normal limits, nonnormal limits, and the bootstrap for quantiles of dependent data

Olimjon Sh. Sharipov and Martin Wendler

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1028-1035

Abstract: We will show under very weak conditions on differentiability and dependence that the central limit theorem for quantiles holds and that the block bootstrap is weakly consistent. Under slightly stronger conditions, the bootstrap is strongly consistent. Without the differentiability condition, quantiles might have a nonnormal asymptotic distribution and the bootstrap might fail.

Keywords: Quantiles; Strong mixing; Block bootstrap (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2012.12.017

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