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

asymptotic stabilityconsistencyrandom measuresstationarityuniversal Glivenko-Cantelli classesweak convergence of empirical process

Mathematics Subject Classification ID

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

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 $au$.

Review text

Let $\xi_1,\xi_2,\dots$ be a stationary sequence of random trials, with $m_n$ the empirical measure of the first $n$ of these trials. One of the main results of the present paper is the almost sure convergence of these empirical measures in the $\psi$-weak topology as $n\rightarrow\infty$, where $\psi$ is a continuous function playing the role of a gauge function and the limit is in terms of a certain conditional distribution. \par Motivated by applications in financial risk, the authors also consider a functional $\tau$, studying strong consistency of the statistics $\tau(m_n)$ and giving conditions for asymptotic stability of $\tau(m_n)$ with respect to given perturbations of the data.

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Cited in

(10)

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

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