Bahadur--Kiefer theory for sample quantiles of weakly dependent linear processes

Details Bahadur--Kiefer theory for sample quantiles of weakly dependent linear processes Bahadur--Kiefer theory for sample quantiles of weakly dependent linear processes

2006-05-10

arxiv.org/abs/math/0605282v2

Bernoulli 2007, Vol. 13, No. 4, 1071-1090

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/07-BEJ6086 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statist

Scientific paper

10.3150/07-BEJ6086

In this paper, we establish the Bahadur--Kiefer representation for sample
quantiles for a class of weakly dependent linear processes. The rate of
approximation is the same as for i.i.d. sequences and is thus optimal.

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