Pointwise and uniform asymptotics of the Vervaat error process

DOI10.1023/A:1020650502619MaRDI QIDQ1866068zbMATH OpenOpenAlexFDO

Authors Endre Csáki, Zhan Shi, Ričardas Zitikis, Miklós Csörgo, Antónia Földes

Publication date 3 April 2003

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1020650502619

zbMATH Keywords

Bahadur-Kiefer processBrownian bridgeconvergence in distributionempirical processKiefer processlaw of the iterated logarithmquantile processstrong approximationVervaat error processVervaat processWiener process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Gaussian processes (60G15)

Review text

Let \(\alpha_n(t), 0\leq t\leq 1,\) and \(\beta_n(t), 0\leq t\leq 1,\) denote the uniform empirical and quantile processes of sample size \(n\geq 1\), respectively. The sum \(R_n=\alpha_n+\beta_n\) is known in the literature as the Bahadur-Kiefer process. For the integrated Bahadur-Kiefer process \(V_n(t)=2\sqrt{n}\int_0^t R_n(s) ds, 0\leq t\leq 1,\) called uniform Vervaat process, set \(Q_n(t)=V_n(t)-\alpha_n^2(t), 0\leq t\leq 1\). It is known that \(\sup_{0\leq t\leq 1}|Q_n(t)|\to 0\) in probability as \(n\to\infty\) so that \(Q_n\) can be interpreted as the ``Vervaat error process in the representation \(V_n=\alpha_n^2+Q_n\). The asymptotic behaviour of \(Q_n\), both for fixed \(t\) and uniformly in \(0\leq t\leq 1\), is investigated, including a strong approximation via a Kiefer process.

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Cited in

(8)

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• An \(L^p\)-view of the Bahadur-Kiefer theorem
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• The Vervaat process in L_p spaces
• On Vervaat and Vervaat-error-type processes for partial sums and renewals
• Weak convergence of Vervaat and Vervaat error processes of long-range dependent sequences

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