Strong invariance principles for sequential Bahadur–Kiefer and Vervaat error processes of long-range dependent sequences
Csörgő, Miklós ; Szyszkowicz, Barbara ; Wang, Lihong
Ann. Statist., Tome 34 (2006) no. 1, p. 1013-1044 / Harvested from Project Euclid
In this paper we study strong approximations (invariance principles) of the sequential uniform and general Bahadur–Kiefer processes of long-range dependent sequences. We also investigate the strong and weak asymptotic behavior of the sequential Vervaat process, that is, the integrated sequential Bahadur–Kiefer process, properly normalized, as well as that of its deviation from its limiting process, the so-called Vervaat error process. It is well known that the Bahadur–Kiefer and the Vervaat error processes cannot converge weakly in the i.i.d. case. In contrast to this, we conclude that the Bahadur–Kiefer and Vervaat error processes, as well as their sequential versions, do converge weakly to a Dehling–Taqqu type limit process for certain long-range dependent sequences.
Publié le : 2006-04-14
Classification:  Long-range dependence,  sequential empirical and quantile processes,  sequential Bahadur–Kiefer process,  sequential Vervaat and Vervaat error processes,  strong invariance principles,  60F15,  60F17,  60G10,  60G18
@article{1151418250,
     author = {Cs\"org\H o, Mikl\'os and Szyszkowicz, Barbara and Wang, Lihong},
     title = {Strong invariance principles for sequential Bahadur--Kiefer and Vervaat error processes of long-range dependent sequences},
     journal = {Ann. Statist.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 1013-1044},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1151418250}
}
Csörgő, Miklós; Szyszkowicz, Barbara; Wang, Lihong. Strong invariance principles for sequential Bahadur–Kiefer and Vervaat error processes of long-range dependent sequences. Ann. Statist., Tome 34 (2006) no. 1, pp.  1013-1044. http://gdmltest.u-ga.fr/item/1151418250/