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 ...

This is a preview. Log in through your library . The Annals of Statistics publishes research papers of the highest quality reflecting the many facets of contemporary statistics. Primary emphasis is ...

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 ...