Approximation of the basic martingale

DOI10.1214/AOS/1176325485MaRDI QIDQ1339680zbMATH OpenOpenAlexFDO

Authors Alex J. Koning

Publication date 13 June 1995

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176325485

zbMATH Keywords

compensatorcounting processempirical process approachexponential inequalityrandom censoring model

Mathematics Subject Classification ID

Strong limit theorems (60F15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Nonparametric hypothesis testing (62G10)

Review text

Consider probability inequalities governing the approximation of the basic martingale, the rescaled difference between a counting process \(N_ n = \{N_ n(t)\}_{t \in [0, \infty)}\) adapted to some filtration \(\{A_{nt}\}_{t \in [0, \infty)}\) of \(\sigma\)-algebras contained in the probability space \((\Omega,A,P)\) and continuous compensator \(A_ n\) of \(n^{-1} N_ n\) with respect to \(\{A_{nt}\}_{t \in [0, \infty)}\). A time-transformed Wiener process \(W_ n\), which strongly approximates \(M_ n = n^{1/2} \{n^{-1} N_ n - A_ n\}\) is constructed. A main result is exponential inequality for the distance (in the supremum metric) between \(M_ n\) and the approximating process \(W_ n\). Application to the random censoring model is given. In the random censoring model it is more or less customary to refer to \(M_ n\) as the basic martingale which converges to a standard time-transformed Wiener process \(\widetilde W_ n\) as the sample size \(n\) increases. The main result is used to study the behavior of statistics of the form \(T(M_ n)\), which occur in the field of goodness-of-fit tests, in particular when the null hypothesis is composite. Some examples of interesting test statistics which belong to a larger class investigated by means of the empirical process approach are proposed. The statistic \(T(M_ n)\) is analyzed for the special case of the counting process \(N_ n\) corresponding to the first \(n\) order statistics of a random sample of size \((n+1)\) from an exponential distribution with unknown mean \(\theta\). The inequalities are compared to inequalities derived earlier for the random censoring model by using an empirical process approach.

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Cited in

(6)

• Estimations in homoscedastic linear regression models with censored data: An empirical process approach
• Tail behaviour of Gaussian processes with applications to the Brownian pillow.
• A conversation with Estate V. Khmaladze
• On Wieand's theorem
• scientific article; zbMATH DE number 22999 (Why is no real title available?)
• KMT‐type inequalities and goodness‐of‐fit tests

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