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We will show under very weak conditions on differentiability and dependencethat the central limit theorem for quantiles holds and that the block bootstrapis weakly consistent. Under slightly stronger conditions, the bootstrap isstrongly consistent. Without the differentiability condition, quantiles mighthave a non-normal asymptotic distribution and the bootstrap might fail.

Normal Limits, Nonnormal Limits, and the Bootstrap for Quantiles of Dependent Data