Berry-Esseen Theorem for Sample Quantiles with Locally Dependent Data

In this note, we derive a Gaussian Central Limit Theorem for the sample quantiles based on identically distributed but possibly dependent random variables with explicit convergence rate. Our approach is based on converting the problem to a sum of indicator random variables, applying Stein's met...

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Bibliographic Details
Main Authors Dey, Partha S, Terlov, Grigory
Format Journal Article
LanguageEnglish
Published 18.08.2022
Subjects
Mathematics - Probability
Mathematics - Statistics Theory
Statistics - Theory
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Summary:In this note, we derive a Gaussian Central Limit Theorem for the sample quantiles based on identically distributed but possibly dependent random variables with explicit convergence rate. Our approach is based on converting the problem to a sum of indicator random variables, applying Stein's method for local dependence, and bounding the distance between two normal distributions. We also generalize this approach to the joint convergence of sample quantiles with an explicit convergence rate.
DOI:10.48550/arxiv.2208.09072