A Berry--Esseen theorem for sample quantiles under weak dependence
| dc.creator | Lahiri, S. N. | |
| dc.creator | Sun, S. | |
| dc.date | 2009-02-27 | |
| dc.date.accessioned | 2026-07-07T12:47:34Z | |
| dc.date.available | 2026-07-07T12:47:34Z | |
| dc.description | This paper proves a Berry--Esseen theorem for sample quantiles of strongly-mixing random variables under a polynomial mixing rate. The rate of normal approximation is shown to be $O(n^{-1/2})$ as $n\to\infty$, where $n$ denotes the sample size. This result is in sharp contrast to the case of the sample mean of strongly-mixing random variables where the rate $O(n^{-1/2})$ is not known even under an exponential strong mixing rate. The main result of the paper has applications in finance and econometrics as financial time series data often are heavy-tailed and quantile based methods play an important role in various problems in finance, including hedging and risk management. | |
| dc.description | Published in at http://dx.doi.org/10.1214/08-AAP533 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0902.4796 | |
| dc.identifier | http://arxiv.org/abs/0902.4796 | |
| dc.identifier | Annals of Applied Probability 2009, Vol. 19, No. 1, 108-126 | |
| dc.identifier | doi:10.1214/08-AAP533 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/221765 | |
| dc.subject | Probability | |
| dc.subject | 60F05 (Primary) 60G10, 62E20 (Secondary) | |
| dc.title | A Berry--Esseen theorem for sample quantiles under weak dependence | |
| dc.type | text |