Level crossings of the empirical process

DOI10.1016/0304-4149(92)90066-YMaRDI QIDQ1201897zbMATH OpenFDO

Authors D. Khoshnevisan

Publication date 17 January 1993

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(92)90066-Y

zbMATH Keywords

Brownian bridge local timeempirical distribution functionempirical processuniform strong approximation theorem

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60) Order statistics; empirical distribution functions (62G30)

Review text

Let \(\{U_ n(t);\;0\leq t\leq 1\}\) be the empirical process based on i.i.d. \(U(0,1)\) data. A generalization of the known asymptotics for the number of times the empirical distribution function crosses the true distribution function is obtained in terms of the crossing process \[ C^ x_ t(U_ n)=\#\{s\leq t;\;U_ n(s)=x\}. \] It is proven that the doubly-indexed stochastic process \(\{n^{-1/2}C^ x_ t(U_ n)\); \((x,t)\in R\times[0,1]\}\) converges in distribution (in the appropriate sense) to the Brownian bridge local time. A uniform strong approximation theorem for local times defined on one probability space is also proven.

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Cites work

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Cited in

(8)

• On the number of crossings of empirical distribution functions
• Level crossings of a Cauchy process
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• Some asymptotic properties of the local time of the uniform empirical process
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• On the local time of the weighted bootstrap and compound empirical processes
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