Asymptotic stability of empirical processes and related functionals

DOI10.1016/J.JMAA.2019.02.068MaRDI QIDQ2633763zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 10 May 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.07070

zbMATH Keywords

stationarityconsistencyasymptotic stabilityrandom measuresuniversal Glivenko-Cantelli classesweak convergence of empirical process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Abstract: Let $E$ be a space of observables in a sequence of trials $x{i}_n$ and define $m_n$ to be the empirical distributions of the outcomes. We discuss the almost sure convergence of the sequence $m_n$ in terms of the $psi$-weak topology of measures, when the sequence $x{i}_n$ is assumed to be stationary. In this respect, the limit variable is naturally described as a certain canonical conditional distribution. Then, given some functional $au$ defined on a space of laws, the consistency of the estimators $au(m_n)$ is investigated. Hence, a criterion for a refined notion of robustness, that applies when considering random measures, is provided in terms of the modulus of continuity of $au$.

Recommendations

• scientific article; zbMATH DE number 179187
• Mises’ Theorem on the Asymptotic Behavior of Functionals of Empirical Distribution Functions and Its Statistical Applications
• scientific article; zbMATH DE number 5275983
• Publication:4484767
• scientific article; zbMATH DE number 69457

Cites work

• A General Qualitative Definition of Robustness
• A definition of qualitative robustness for general point estimators, and examples
• Bayesian nonparametrics
• Borel Structure in Groups and Their Duals
• Coherence and elicitability
• Comparative and qualitative robustness for law-invariant risk measures
• External risk measures and Basel accords
• Foundations of Modern Probability
• Higher order elicitability and Osband's principle
• Infinite dimensional analysis. A hitchhiker's guide.
• Making and evaluating point forecasts
• Measure theory. Vol. I and II
• On a class of time inhomogeneous nonsingular flows and Schrödinger operators
• On robustness properties of bootstrap approximations
• Probabilistic Symmetries and Invariance Principles
• Qualitative and infinitesimal robustness of tail-dependent statistical functionals
• Qualitative robustness of statistical functionals under strong mixing
• Real Analysis and Probability
• Robust Statistics
• Robustness and sensitivity analysis of risk measurement procedures
• Spreading and predictable sampling in exchangeable sequences and processes
• Stochastic finance. An introduction in discrete time
• The universal Glivenko-Cantelli property

Cited in

(10)

• scientific article; zbMATH DE number 88757 (Why is no real title available?)
• Asymptotic behaviour of the empirical process for exchangeable data
• Empirical process theory for nonsmooth functions under functional dependence
• Stability of random implicit multifunctions in separable Asplund spaces
• scientific article; zbMATH DE number 179187 (Why is no real title available?)
• The asymptotics of integral functionals of a multidimensional empirical process
• ON THE STABILITY OF A HETEROSCEDASTIC PROCESS
• Empirical associated functionals and their application to the analysis of stable random sets and processes
• Asymptotic stability of the maximum of normal stochastic processes
• Study of the asymptotic behaviour of non-linear functionals for the empirical bridge via strong approximations

This page was built for publication: Asymptotic stability of empirical processes and related functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2633763)