Li Yongming, Zhang Wenting, Rao Xianqing. Uniformly Asymptotic Normality of Quantile Estimate for a Kind of Mixing Random Variables[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(3): 313-321.
Citation: Li Yongming, Zhang Wenting, Rao Xianqing. Uniformly Asymptotic Normality of Quantile Estimate for a Kind of Mixing Random Variables[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(3): 313-321.

Uniformly Asymptotic Normality of Quantile Estimate for a Kind of Mixing Random Variables

  • In this paper, under -mixing random variables, we discuss the uniformly asymptotic normality of the quantile estimate and give its rate. The rate of normal approximation is shown as , under some certain conditions. The result can apply to the VaR quantile estimator.
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