On convergence of empirical point processes

DOI10.1016/J.SPL.2006.04.030MaRDI QIDQ850192zbMATH OpenOpenAlexFDO

Authors Youri Davydov, Vladimir Egorov

Publication date 15 November 2006

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

Full work available at URL https://doi.org/10.1016/j.spl.2006.04.030

zbMATH Keywords

Empirical processesPoint processesStable distributionsTruncated sumsWeak convergence

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Review text

Let \(\alpha \in (0,\infty)\) and \(\pi_\alpha\) denote a Poisson point process on \(\mathbb{R}^d \setminus \{ 0 \} = S_{d-1} \times (0,\infty)\) with intensity measure \(m_\alpha = \sigma \times \theta_\alpha\), where \(\sigma\) is a finite Borel measure on \(S_{d-1}\) and \(\theta_\alpha\) the measure on \((0,\infty)\) with Lebesgue density \(r \mapsto \alpha r^{-1-\alpha}\). Let \((\xi_n)_{n\geq 1}\) be an i.i.d. sequence of \(\mathbb{R}^d\)-valued random vectors, and assume that \[ \lim_{n\to\infty} n P( \xi_1 / \| \xi_1\| \in A, \, \| \xi_1\| > r b_n) = \sigma(A) \, \theta_\alpha ((r,\infty)) \] for all \(r> 0\) and all Borel subsets \(A\) of \(S_{d-1}\) with \(\sigma\)-boundary zero, where \(b_n\) is of the form \(b_n = n^{1/\alpha} L(n)\) for some slowly varying function \(L\) at infinity. Then it is well known that the scaling empirical process \(\beta_n := \sum_{k=1}^n \delta_{ \xi_k/b_n}\) converges weakly to \(\pi_\alpha\) as \(n\to \infty\). Under the additional assumption that \(\xi_1\) has no atoms, the authors show a stronger type of convergence, namely that \(\beta_n\) converges weakly to \(\pi_\alpha\) with respect to the \(\delta_p\)-metric for \(p > \alpha\). Applications of this result include the study of the asymptotic behaviour of truncated sums of the form \((b_n)^{-1} \sum_{i \leq n, i \in C_n} \xi_i\), where \((C_n)_{n\geq 1}\) is an increasing sequence of subsets of the positive integers.

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Cited in

(11)

• On the rate of convergence to a Poisson process
• A convergence criterion for systems of point processes from the convergence of their stochastic intensities
• Spectrum of heavy-tailed elliptic random matrices
• Convergence to scale-invariant Poisson processes and applications in Dickman approximation
• Some notes on poisson limits for empirical point processes
• scientific article; zbMATH DE number 3984242 (Why is no real title available?)
• On some applications of Poisson point processes
• CONVERGENCE RATE FOR STATISTICS OF POINT PROCESSES
• Spectrum of Lévy-Khintchine random Laplacian matrices
• Convergence of randomly oscillating point patterns to the Poisson point process
• On the convergence of point processes in a model of no space-time clustering

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