Bahadur--Kiefer theory for sample quantiles of weakly dependent linear processes
arXiv:math/0605282 · doi:10.3150/07-BEJ6086
Abstract
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.
Published in at http://dx.doi.org/10.3150/07-BEJ6086 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)