On sample marginal quantiles for stationary processes

被引：3

作者：

Dominicy, Yves ^{[1
]}

Hormann, Siegfried ^{[2
]}

Ogata, Hiroaki ^{[3
]}

Veredas, David ^{[1
]}

机构：

[1] Univ Libre Brussels, Solvay Brussels Sch Econ & Management, ECARES, B-1050 Brussels, Belgium

[2] Univ Libre Brussels, Dept Math, B-1050 Brussels, Belgium

[3] Waseda Univ, Sch Int Liberal Studies, Tokyo, Japan

来源：

STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 01期

关键词：

Quantiles; S-mixing; ASYMPTOTIC-DISTRIBUTION; SEQUENCES;

D O I：

10.1016/j.spl.2012.07.016

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：28 / 36

页数：9

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