Marginal quantiles for stationary processes

Yves Dominicy, Siegfried Hörmann (), David Veredas and Hiroaki Ogata ()
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Siegfried Hörmann: Université libre de Bruxelles
Hiroaki Ogata: Waseda University

No 1228, Working Papers from Banco de España

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)
JEL-codes: C01 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2012-07
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1228

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