Simultaneous quantile inference for non-stationary long-memory time series

Abstract

We consider the simultaneous or functional inference of time-varying quantile curves for a class of non-stationary long-memory time series. New uniform Bahadur representations and Gaussian approximation schemes are established for a broad class of non-stationary long-memory linear processes. Furthermore, an asymptotic distribution theory is developed for the maxima of a class of non-stationary long-memory Gaussian processes. Using the latter theoretical results, simultaneous confidence bands for the aforementioned quantile curves with asymptotically correct coverage probabilities are constructed.