A limited in bandwidth uniformity for the functional limit law of the increments of the empirical process

Details A limited in bandwidth uniformity for the functional limit law of the increments of the empirical process A limited in bandwidth uniformity for the functional limit law of the increments of the empirical process

2008-02-19

arxiv.org/abs/0802.2636v2

Electronic Journal of Statistics 2008, Vol. 2, 1043-1064

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/08-EJS193 the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/08-EJS193

Consider the following local empirical process indexed by $K\in \mathcal{G}$, for fixed $h>0$ and $z\in \mathbb{R}^d$: $$G_n(K,h,z):=\sum_{i=1}^n K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big) - \mathbbE \Bigl(K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big)\Big),$$ where the $Z_i$ are i.i.d. on $\mathbb{R}^d$. We provide an extension of a result of Mason (2004). Namely, under mild conditions on $\mathcal{G}$ and on the law of $Z_1$, we establish a uniform functional limit law for the collections of processes $\bigl\{G_n(\cdot,h_n,z), z\in H, h\in [h_n,\mathfrak{h}_n]\big\}$, where $H\subset \mathbb{R}^d$ is a compact set with nonempty interior and where $h_n$ and $\mathfrak{h}_n$ satisfy the Cs\"{o}rg\H{o}-R\'{e}v\'{e}sz-Stute conditions.

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