Marginal quantiles for stationary processes

Marginal quantiles for stationary processes

Series: Working Papers. 1228.

Author: Yves Dominicy, Siegfried Hörmann, Hiroaki Ogata and David Veredas.

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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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