On sample marginal quantiles for stationary processes
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Other versions of this item:
- Dominicy, Yves & Hörmann, Siegfried & Ogata, Hiroaki & Veredas, David, 2013. "On sample marginal quantiles for stationary processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 28-36.
References listed on IDEAS
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"Nonparametric Estimation of Copulas for Time Series,"
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- Oberhofer, Walter & Haupt, Harry, 2005. "The asymptotic distribution of the unconditional quantile estimator under dependence," Statistics & Probability Letters, Elsevier, vol. 73(3), pages 243-250, July.
- Babu, G. Jogesh & Rao, C. Radhakrishna, 1988. "Joint asymptotic distribution of marginal quantiles and quantile functions in samples from a multivariate population," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 15-23, October.
- Dutta, Kalyan & Sen, Pranab Kumar, 1971. "On the Bahadur representation of sample quantiles in some stationary multivariate autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 1(2), pages 186-198, June.
- Berkes, István & Hörmann, Siegfried & Schauer, Johannes, 2009. "Asymptotic results for the empirical process of stationary sequences," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1298-1324, April.
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Cited by:
- Laurent, Sébastien & Shi, Shuping, 2020.
"Volatility estimation and jump detection for drift–diffusion processes,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
- Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
- Sébastien Laurent & Shuping Shi, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Post-Print hal-02909690, HAL.
- Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," Working Papers halshs-01944449, HAL.
- Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
- Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
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