Weak convergence of the empirical process and the rescaled empirical distribution function in the Skorokhod product space

DOI10.1137/S0040585X97984486MaRDI QIDQ3087747zbMATH OpenFDO

Authors Dietmar Ferger, Daniel Vogel

Publication date 16 August 2011

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.04324

zbMATH Keywords

Brownian bridgeempirical processfinite-dimensional distributionPoisson processSkorokhod topologytightness

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic processes (60G99) Inference from stochastic processes (62M99)

Abstract: We prove the asymptotic independence of the empirical process $alph{a}_n=sqrtn(F_n-F)$ and the rescaled empirical distribution function $$, where $F$ is an arbitrary cdf, differentiable at some point $au$, and $F_n$ the corresponding empricial cdf. This seems rather counterintuitive, since, for every $ninN$, there is a deterministic correspondence between $alph{a}_n$ and $$. Precisely, we show that the pair $$ converges in law to a limit having independent components, namely a time-transformed Brownian bridge and a two-sided Poisson process. Since these processes have jumps, in particular if $F$ itself has jumps, the Skorokhod product space $D(R)imesD(R)$ is the adequate choice for modeling this convergence in. We develop a short convergence theory for $D(R)imesD(R)$ by establishing the classical principle, devised by Yu. V. Prokhorov, that finite-dimensional convergence and tightness imply weak convergence. Several tightness criteria are given. Finally, the convergence of the pair $$ implies convergence of each of its components, thus, in passing, we provide a thorough proof of these known convergence results in a very general setting. In fact, the condition on $F$ to be differentiable in at least one point is only required for $$ to converge and can be further weakened.

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