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math.ST2021
Joint FCLT for Sample Quantile and Measures of Dispersion for Functionals of Mixing Processes
Marcel Bräutigam, Marie Kratz
In this paper, we establish a joint (bivariate) functional central limit theorem of the sample quantile and the -th absolute centred sample moment for functionals of mixing proc…
math.ST2019
Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(,) processes
Marcel Bräutigam, Marie Kratz
In this paper, we build upon the asymptotic theory for GARCH processes, considering the general class of augmented GARCH(, ) processes. Our contribution is to complement the…
math.ST2019★ 3 cited
On the Dependence between Functions of Quantile and Dispersion Estimators
Marcel Bräutigam, Marie Kratz
In this paper, we derive the joint asymptotic distributions of functions of quantile estimators (the non-parametric sample quantile and the parametric location-scale quantile estim…