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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.ST2021★ 1 cited
Multi-Normex Distributions for the Sum of Random Vectors. Rates of Convergence
Marie Kratz, Evgeny Prokopenko
We build a sharp approximation of the whole distribution of the sum of iid heavy-tailed random vectors, combining mean and extreme behaviors. It extends the so-called 'normex' appr…