Asymptotic stability of empirical processes and related functionals

DOI10.1016/J.JMAA.2019.02.068zbMATH Open1418.62057arXiv1710.07070OpenAlexW2963047164MaRDI QIDQ2633763FDOQ2633763

Authors: Yanyan Li 

Publication date: 10 May 2019

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

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 $au$.

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

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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)

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Cited In (10)

• Asymptotic stability of the maximum of normal stochastic processes
• Asymptotic behaviour of the empirical process for exchangeable data
• Stability of random implicit multifunctions in separable Asplund spaces
• Empirical process theory for nonsmooth functions under functional dependence
• Title not available (Why is that?)
• Title not available (Why is that?)
• The asymptotics of integral functionals of a multidimensional empirical process
• Empirical associated functionals and their application to the analysis of stable random sets and processes
• ON THE STABILITY OF A HETEROSCEDASTIC PROCESS
• Study of the asymptotic behaviour of non-linear functionals for the empirical bridge via strong approximations

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