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arXiv · 1308.4194

Empirical Quantile CLTs For Some Self-Similar Processes

James Kuelbs·Joel Zinn
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Abstract

In a paper of Jason Swanson, a CLT for the sample median of independent Brownian motions with value 0 at 0 was proved. Here we extend this result in two ways. We prove such a result for a collection of self-similar processes which include the fractional Brownian motions, all stationary, independent increment symmetric stable processes tied down at 0 as well as iterated and integrated Brownian motions. Second, our results hold uniformly over all quantiles in a compact sub-interval of (0,1). We also examine sample function properties connected with these CLTs.

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James Kuelbs, Joel Zinn. 2013-08-20. Empirical Quantile CLTs For Some Self-Similar Processes. https://arxiv.org/abs/1308.4194

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