Tightness criterion and weak convergence for the generalized empirical process in \(D[0, 1]\) (Q2510943)

Summary: We prove Shao and Yu's tightness criterion [\textit{Q.-M. Shao} and \textit{H. Yu}, Ann. Probab. 24, No.~4, 2098--2127 (1996; Zbl 0874.60006)] for the generalized empirical process in the space \(D[0, 1]\) with \(J_1\) topology. Covariance inequalities are used in applying the criterion to particular types of the empirical processes. We weaken the assumptions imposed on the covariance structure as well as the properties of the underlying sequence of r.v.'s, under which presented processes converge weakly.