The Convergence Rate of High-Dimensional Sample Quantiles for ? -Mixing Observation Sequences

Ling Peng and Dong Han
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Ling Peng: School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai 200240, China
Dong Han: School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai 200240, China

Mathematics, 2021, vol. 9, issue 6, 1-8

Abstract: In this paper, we obtain the convergence rate for the high-dimensional sample quantiles with the ? -mixing dependent sequence. The resulting convergence rate is shown to be faster than that obtained by the Hoeffding-type inequalities. Moreover, the convergence rate of the high-dimensional sample quantiles for the observation sequence taking discrete values is also provided.

Keywords: convergence rate; sample quantiles; ?-mixing dependent sequence (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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