A uniform limit theorem for predictive distributions

DOI10.1016/S0167-7152(01)00089-XMaRDI QIDQ1612977zbMATH OpenOpenAlexFDO

Authors Patrizia Berti, Pietro Rigo

Publication date 5 September 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00089-x

zbMATH Keywords

almost sure uniform convergenceempirical distributionpredictive distribution

Mathematics Subject Classification ID

Strong limit theorems (60F15) Prediction theory (aspects of stochastic processes) (60G25)

Review text

Let \(\{F_n\}\) be a filtration, \(\{X_n\}\) an adapted sequence of real random variables, and \(\{\alpha_n\}\) a predictable sequence of nonnegative random variables with \(\alpha_1>0.\) The main purpose of this paper is to prove that \[ \sup_t |G_n(t)-B_n(t)|\to 0,\;\text{a.s. on the set \{\(G_n\) or \(B_n\) converges uniformly\}}, \] under mild conditions on \(\{\alpha_n\}\) of the type \(\sum_0^{\infty} \alpha_i=\infty\), \(\sum_0^{\infty} \alpha_i^2\beta_i^{-2}<\infty\) a.s. for two random distribution functions \[ G_n(t)=\beta_n^{-1}\sum_1^n \alpha_i I_{\{X_i\leq t\}}, \quad G_n(t)=\beta_n^{-1}\sum_1^n \alpha_i P(X_i\leq t\mid F_{i-1}),\quad \beta_n=\sum_1^n \alpha_i. \]

Recommendations

• Asymptotics of predictive distributions
• Finitely additive uniform limit theorems
• Asymptotic predictive inference with exchangeable data
• Rate of convergence of predictive distributions for dependent data
• On Uniform Versions of the Strong Law of Large Numbers

Cites work

• A Glivenko-Cantelli lemma and weak convergence for empirical processes of associated sequences
• A Glivenko-Cantelli theorem for exchangeable random variables
• A new stochastic approximation procedure using quantile curves
• A note on the empirical distribution of dependent random variables
• Convergence of stochastic processes
• Correction to: Universal prediction schemes
• scientific article; zbMATH DE number 4129849 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Local Convergence of Martingales and the Law of Large Numbers
• Stability of sums of weighted nonnegative random variables
• The Well-Calibrated Bayesian
• Universal schemes for prediction, gambling and portfolio selection
• Well-calibrated, coherent forecasting systems

Cited in

(7)

• Asymptotic predictive inference with exchangeable data
• Limit theorems for a class of identically distributed random variables.
• Finitely additive uniform limit theorems
• scientific article; zbMATH DE number 1405950 (Why is no real title available?)
• Asymptotics of predictive distributions
• Rate of convergence of predictive distributions for dependent data
• Hierarchical false discovery rate control for high-dimensional survival analysis with interactions

This page was built for publication: A uniform limit theorem for predictive distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1612977)