Oscillations of empirical distribution functions under dependence

DOI10.1214/074921706000000752MaRDI QIDQ3592307zbMATH OpenOpenAlexFDO

Authors Wei Biao Wu

Publication date 12 September 2007

Published in High Dimensional Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612692

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42) Stationary stochastic processes (60G10)

Abstract: We obtain an almost sure bound for oscillation rates of empirical distribution functions for stationary causal processes. For short-range dependent processes, the oscillation rate is shown to be optimal in the sense that it is as sharp as the one obtained under independence. The dependence conditions are expressed in terms of physical dependence measures which are directly related to the data-generating mechanism of the underlying processes and thus are easy to work with.

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