New techniques for empirical processes of dependent data

DOI10.1016/J.SPA.2009.07.003MaRDI QIDQ734659zbMATH OpenOpenAlexFDO

Authors Herold Dehling, Olivier Durieu, Dalibor Volný

Publication date 13 October 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0806.2941

zbMATH Keywords

chainingdynamical systemempirical processinvariance principleMarkov chain

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10) Order statistics; empirical distribution functions (62G30)

Abstract: We present a new technique for proving empirical process invariance principle for stationary processes $(X_n{)}_{ngeq0}$. The main novelty of our approach lies in the fact that we only require the central limit theorem and a moment bound for a restricted class of functions $(f(X_n){)}_{ngeq0}$, not containing the indicator functions. Our approach can be applied to Markov chains and dynamical systems, using spectral properties of the transfer operator. Our proof consists of a novel application of chaining techniques.

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Cited in

(28)

• New dependence coefficients. Examples and applications to statistics
• Hilbertian invariance principle for empirical process associated with a Markov process
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