Noncentral limit theorem and the bootstrap for quantiles of dependent data
Date
2012-05-10
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Abstract
We will show under minimal conditions on differentiability and
dependence that the central limit theorem for quantiles holds and that the
block bootstrap is weakly consistent. Under slightly stronger conditions, the
bootstrap is strongly consistent. Without the differentiability condition, quantiles might have a non-normal asymptotic distribution and the bootstrap might
fail.