On sample marginal quantiles for stationary processes
Dominicy, Yves Hörmann, Siegfried Ogata, Hiroaki Veredas, David
Dominicy, Yves
Hörmann, Siegfried
Ogata, Hiroaki
Veredas, David
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Publication Type
Journal article
Editor
Supervisor
Publication Year
2013
Journal
Statistics & Probability Letters
Book
Publication Volume
83
Publication Issue
1
Publication Begin page
28
Publication End page
36
Publication Number of pages
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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.
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Keywords
Accounting & Finance