An empirical central limit theorem in L^1 for stationary sequences
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Publication:734650
DOI10.1016/J.SPA.2009.06.006zbMATH Open1176.60022arXiv0812.2839OpenAlexW2007503182MaRDI QIDQ734650FDOQ734650
Authors: Sophie Dede 
Publication date: 13 October 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: In this paper, we derive asymptotic results for L^1-Wasserstein distance between the distribution function and the corresponding empirical distribution function of a stationary sequence. Next, we give some applications to dynamical systems and causal linear processes. To prove our main result, we give a Central Limit Theorem for ergodic stationary sequences of random variables with values in L^1. The conditions obtained are expressed in terms of projective-type conditions. The main tools are martingale approximations.
Full work available at URL: https://arxiv.org/abs/0812.2839
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Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)
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Cited In (8)
- Donsker results for the empirical process indexed by functions of locally bounded variation and applications to the smoothed empirical process
- Statistical inference for expectile-based risk measures
- Distribution of Distances based Object Matching: Asymptotic Inference
- Empirical central limit theorems for ergodic automorphisms of the torus
- Empirical optimal transport on countable metric spaces: distributional limits and statistical applications
- On mean central limit theorems for stationary sequences
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- On the weak invariance principle for ortho-martingale in Banach spaces. Application to stationary random fields
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