Finite sampling inequalities: an application to two-sample Kolmogorov-Smirnov statistics

DOI10.1016/J.SPA.2016.04.020MaRDI QIDQ335642zbMATH OpenOpenAlexWikidataFDO

Authors Evan Greene, Jon A. Wellner

Publication date 2 November 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.00342

zbMATH Keywords

Bennett inequalityexponential boundsfinite sampling inequalitiesHoeffding inequalityhypergeometric distributiontwo-sample Kolmogorov-Smirnov statistics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Inequalities; stochastic orderings (60E15) Limit theorems in probability theory (60F99)

Abstract: We review a finite-sampling exponential bound due to Serfling and discuss related exponential bounds for the hypergeometric distribution. We then discuss how such bounds motivate some new results for two-sample empirical processes. Our development complements recent results by Wei and Dudley (2011) concerning exponential bounds for two-sided Kolmogorov - Smirnov statistics by giving corresponding results for one-sided statistics with emphasis on "adjusted" inequalities of the type proved originally by Dvoretzky, Kiefer, and Wolfowitz (1956) and by Massart (1990) for one-sample versions of these statistics.

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Cited in

(1)

• Two-sample Dvoretzky-Kiefer-Wolfowitz inequalities

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