A central limit theorem for empirical quantiles in the Markov chain setting. Henderson, S. & Glynn, P. 2004. Working paperabstract bibtex We provide a new proof of a central limit theorem (CLT) for empirical quantiles in the positive-recurrent Markov process setting. We also establish the validity of the method of nonoverlapping batch means with a fixed number of batches for interval estimation of the quantile. The conditions of these results are likely to be difficult to verify in practice, and so we also provide ``easily verified'' sufficient conditions.
@unpublished{hengly04,
abstract = {We provide a new proof of a central limit theorem (CLT) for empirical quantiles in the positive-recurrent Markov process setting. We also establish the validity of the method of nonoverlapping batch means with a fixed number of batches for interval estimation of the quantile. The conditions of these results are likely to be difficult to verify in practice, and so we also provide ``easily verified'' sufficient conditions.},
author = {Henderson, S.~G. and Glynn, P.~W.},
date-added = {2016-01-10 16:07:54 +0000},
date-modified = {2016-01-10 16:07:54 +0000},
note = {Working paper},
title = {A central limit theorem for empirical quantiles in the {M}arkov chain setting},
year = {2004}}
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