, Volume 142, Issue 3-4, pp 339-366
Date: 30 Oct 2007

Reduction principles for quantile and Bahadur–Kiefer processes of long-range dependent linear sequences

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Abstract

In this paper we consider quantile and Bahadur–Kiefer processes for long range dependent linear sequences. These processes, unlike in previous studies, are considered on the whole interval (0, 1). As it is well-known, quantile processes can have very erratic behavior on the tails. We overcome this problem by considering these processes with appropriate weight functions. In this way we conclude strong approximations that yield some remarkable phenomena that are not shared with i.i.d. sequences, including weak convergence of the Bahadur–Kiefer processes, a different pointwise behavior of the general and uniform Bahadur–Kiefer processes, and a somewhat “strange” behavior of the general quantile process.

Research supported in part by NSERC Canada Discovery Grants of Miklós Csörgő, Donald Dawson and Barbara Szyszkowicz at Carleton University.