The Annals of Statistics publishes research papers of the highest quality reflecting the many facets of contemporary statistics. Primary emphasis is placed on importance and originality, not on ...

We derive limit theorems for the empirical distribution function of "devolatilized" increments of an Ito semimartingale observed at high frequencies. These "devolatilized" increments are formed by ...

The empirical distribution function of a sample, F n (y), is the proportion of observations less than or equal to y. where n is the number of observations, and is an indicator function with value 1 if ...

When you use a WEIGHT statement, the percentiles are computed differently. The 100pth weighted percentile y is computed from the empirical distribution function with averaging where w i is the weight ...