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A Berry-Esseen Theorem For Sample Quantiles Under Weak Dependence, S. N. Lahiri, Shuxia Sun

Mathematics and Statistics Faculty Publications

This paper proves a Berry-Esseen theorem for sample quantiles of strongly-mixing random variables under a polynomial mixing rate. The rate of normal approximation is shown to be O(n^-1/2) as n -> infinity, where n denotes the sample size. This result is in sharp contrast to the case of the sample mean of strongly-mixing random variables where the rate O(n^-1/2) is not known even under an exponential strong mixing rate. The main result of the paper has applications in finance and econometrics as financial time series important data often are heavy-tailed and quantile …