On Bahadur-Kiefer type processes for sums and renewals in dependent cases
Endre Cs\'aki, Mikl\'os Cs\"org\~o
TL;DR
This paper investigates the asymptotic behavior of Bahadur-Kiefer processes generated by dependent random variables and their renewals, extending known results from the independent case to dependent scenarios.
Contribution
It extends the understanding of Bahadur-Kiefer processes to dependent variables, covering both weakly and strongly dependent cases.
Findings
Extended asymptotic results to dependent variables
Analyzed behavior for weakly dependent sequences
Analyzed behavior for strongly dependent sequences
Abstract
We study the asymptotic behaviour of Bahadur-Kiefer processes that are generated by summing partial sums of (weakly or strongly dependent) random variables and their renewals. Known results for i.i.d. case will be extended to dependent cases.
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Taxonomy
TopicsProbability and Risk Models · Random Matrices and Applications · Stochastic processes and financial applications