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Marginal Quantiles for Stationary Processes

12 Pages Posted: 4 Jun 2012

See all articles by David Veredas

David Veredas

Vlerick Business School

Yves Dominicy

Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES

Siegfried Hörmann

Université Libre de Bruxelles (ULB) - Department of Mathematics

Hiroaki Ogata

Waseda University

Multiple version iconThere are 2 versions of this paper

Date Written: June 4, 2012

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

Suggested Citation

Veredas, David and Dominicy, Yves and Hormann, Siegfried and Ogata, Hiroaki, Marginal Quantiles for Stationary Processes (June 4, 2012). Available at SSRN: https://ssrn.com/abstract=2076056 or http://dx.doi.org/10.2139/ssrn.2076056

David Veredas (Contact Author)

Vlerick Business School ( email )

Library
REEP 1
Gent, BE-9000
Belgium

Yves Dominicy

Université libre de Bruxelles - Solvay Brussels School of Economics and Management - ECARES ( email )

50 Av Franklin Roosevelt CP 114/04
1050
Brussels
Belgium

Siegfried Hormann

Université Libre de Bruxelles (ULB) - Department of Mathematics ( email )

Brussels
Belgium

Hiroaki Ogata

Waseda University ( email )

1-104 Totsukamachi, Shinjuku-ku
tokyo, 169-8050
Japan

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