A note on weak convergence of the sequential multivariate empirical process under strong mixing

DOI10.1007/S10959-013-0529-5MaRDI QIDQ895901zbMATH OpenOpenAlexFDO

Authors Axel Bücher

Publication date 7 December 2015

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.5113

zbMATH Keywords

strong mixingweak convergencemultivariate sequential empirical processesOttaviani's inequality

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

Abstract: This article investigates weak convergence of the sequential $d$-dimensional empirical process under strong mixing. Weak convergence is established for mixing rates $alph{a}_n=O(n^{-a})$, where $a>1$, which slightly improves upon existing results in the literature that are based on mixing rates depending on the dimension $d$.

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(20)

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• A sequential empirical CLT for multiple mixing processes with application to \(\mathcal{B}\)-geometrically ergodic Markov chains
• Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
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• A weak convergence result for sequential empirical processes under weak dependence
• Change point tests for the tail index of \(\beta\)-mixing random variables
• A class of smooth, possibly data-adaptive nonparametric copula estimators containing the empirical beta copula
• Functional limit theorems for shot noise processes with weakly dependent noises
• Subsampling (weighted smooth) empirical copula processes
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