Berry-Esseen Theorem for Sample Quantiles with Locally Dependent Data

Partha S. Dey, Grigory Terlov

Published 2022-08-18Version 1

In this note, we derive a Gaussian Central Limit Theorem for the sample quantiles based on identically distributed but possibly dependent random variables with explicit convergence rate. Our approach is based on converting the problem to a sum of indicator random variables, applying Stein's method for local dependence, and bounding the distance between two normal distributions. We also generalize this approach to the joint convergence of sample quantiles with an explicit convergence rate.