Bahadur--Kiefer Representations for Time Dependent Quantile Processes
Probability
2016-06-21 v1
Abstract
We define a time dependent empirical process based on independent fractional Brownian motions and describe strong approximations to it by Gaussian processes. They lead to strong approximations and functional laws of the iterated logarithm for the quantile or inverse of this empirical process. They are obtained via time dependent Bahadur--Kiefer representations.
Cite
@article{arxiv.1606.06045,
title = {Bahadur--Kiefer Representations for Time Dependent Quantile Processes},
author = {Péter Kevei and David M. Mason},
journal= {arXiv preprint arXiv:1606.06045},
year = {2016}
}
Comments
Quantile process results from arXiv:1308.4939v1. 20 pages