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 Probability Surveys > Vol. 9 (2012) open journal systems 


Quantile coupling inequalities and their applications

David M. Mason, University of Delaware
Harrison Zhou, Yale University


Abstract
This is partly an expository paper. We prove and highlight a quantile inequality that is implicit in the fundamental paper by Komlós, Major, and Tusnády [31] on Brownian motion strong approximations to partial sums of independent and identically distributed random variables. We also derive a number of refinements of this inequality, which hold when more assumptions are added. A number of examples are detailed that will likely be of separate interest. We especially call attention to applications to the asymptotic equivalence theory of

AMS 2000 subject classifications: Primary 62E17; secondary 62B15, 62G05.

Keywords: Quantile coupling, large deviation, KMT construction, asymptotic equivalence, function estimation.

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Mason, David M., Zhou, Harrison, Quantile coupling inequalities and their applications, Probability Surveys, 9, (2012), 439-479 (electronic). DOI: 10.1214/12-PS198.

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