About the Prohorov distance between the uniform distribution over the unit cube in \(R^ d\) and its empirical measure (Q1099480)

We compute the almost sure order of convergence of the Prokhorov distance between the uniform distribution P over \([0,1]^ d\) and the empirical measure associated with n independent observations with (common) distribution P. We show that this order of convergence is \(n^{-1/d}\) up to a power of log(n). This result extends to the case where the observations are weakly dependent.