Uniform approximation in classical weak convergence theory

arXiv1903.09864MaRDI QIDQ6316095FDOQ6316095

Authors: Viktor Bengs, Hajo Holzmann 

Publication date: 23 March 2019

Abstract: A common statistical task lies in showing asymptotic normality of certain statistics. In many of these situations, classical textbook results on weak convergence theory suffice for the problem at hand. However, there are quite some scenarios where stronger results are needed in order to establish an asymptotic normal approximation uniformly over a family of probability measures. In this note we collect some results in this direction. We restrict ourselves to weak convergence in $mathbb{R}^d$ with continuous limit measures.

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05)

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