| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10525877 | Statistics & Probability Letters | 2005 | 8 Pages |
Abstract
This paper studies the asymptotic behaviour of the unconditional quantile estimator for dependent random variables. Our proof is based on results from convex stochastic optimization and a mixing process which is specific to quantile estimation and requires only a small part of the Ï-algebra generated by the random variable under consideration. The joint asymptotic distribution of several quantiles is given.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Walter Oberhofer, Harry Haupt,