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August 2020 Functional weak limit theorem for a local empirical process of non-stationary time series and its application
Ulrike Mayer, Henryk Zähle, Zhou Zhou
Bernoulli 26(3): 1891-1911 (August 2020). DOI: 10.3150/19-BEJ1174

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.

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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

Information

Received: 1 January 2019; Revised: 1 September 2019; Published: August 2020
First available in Project Euclid: 27 April 2020

zbMATH: 07193946
MathSciNet: MR4091095
Digital Object Identifier: 10.3150/19-BEJ1174

Rights: Copyright © 2020 Bernoulli Society for Mathematical Statistics and Probability

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Vol.26 • No. 3 • August 2020
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