A weak convergence result for sequential empirical processes under weak dependence

DOI10.1080/17442508.2019.1602132zbMATH Open1492.60058arXiv1711.05112OpenAlexW2933892785WikidataQ128088001 ScholiaQ128088001MaRDI QIDQ5086477FDOQ5086477

Authors: Maria Mohr 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: The purpose of this paper is to prove a weak convergence result for empirical processes indexed in general classes of functions and with an underlying $alpha$-mixing sequence of random variables. In particular the uniformly boundedness assumption on the function class, which is required in most of the existing literature, is spared. Furthermore under strict stationarity a weak convergence result for the sequential empirical process indexed in function classes is obtained, as a direct consequence. Two examples in mathematical statistics, that cannot be treated with existing results, are given as possible applications.

Full work available at URL: https://arxiv.org/abs/1711.05112

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zbMATH Keywords

\(\alpha\)-mixingsequential empirical processesstochastic equicontinuityfunctional central limit theorems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

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Cited In (9)

• Misspecified semiparametric model selection with weakly dependent observations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Detecting change structures of nonparametric regressions
• A note on weak convergence of the sequential multivariate empirical process under strong mixing
• Consistent nonparametric change point detection combining CUSUM and marked empirical processes
• Weak convergence of empirical processes on sequences of stationary random variables
• Weak convergence of serial rank statistics under dependence with applications in time series and Markov processes
• Weak convergence of stationary empirical processes

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