Abstract
We derive a functional weak limit theorem for a local empirical process of a wide class of piece-wise locally stationary (PLS) time series. The latter result is applied to derive the asymptotics of weighted empirical quantiles and weighted V-statistics of non-stationary time series. The class of admissible underlying time series is illustrated by means of PLS linear processes and PLS ARCH processes.
Citation
Ulrike Mayer. Henryk Zähle. Zhou Zhou. "Functional weak limit theorem for a local empirical process of non-stationary time series and its application." Bernoulli 26 (3) 1891 - 1911, August 2020. https://doi.org/10.3150/19-BEJ1174
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