Some asymptotic results for the integrated empirical process with applications to statistical tests
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Publication:4976216
hypothesis testinggoodness-of-fitlocal timerates of convergenceBrownian bridgechange-pointintegrated empirical processtwo-sample problemKiefer process
Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)
Abstract: The main purpose of this paper is to investigate the strong approximation of the integrated empirical process. More precisely, we obtain the exact rate of the approximations by a sequence of weighted Brownian bridges and a weighted Kiefer process. Our arguments are based in part on the Koml'os, Major and Tusn'ady's results. Applications include the two-sample testing procedures together with the change-point problems. We also consider the strong approximation of the integrated empirical process when the parameters are estimated. Finally, we study the behavior of the self-intersection local time of the partial sum process representation of the integrated empirical process. Reference: Koml'os, J., Major, P. and Tusn'ady, G. (1975). An approximation of partial sums of independent RV's and the sample DF. I. Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 32, 111-131.
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