Qualitative robustness of statistical functionals under strong mixing

DOI10.3150/14-BEJ608MaRDI QIDQ2515504zbMATH OpenOpenAlexFDO

Authors Henryk Zähle

Publication date 5 August 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.5245, https://projecteuclid.org/euclid.bj/1432732025

zbMATH Keywords

strong mixingqualitative robustnessuniform Glivenko-Cantelli theorem\(\psi\)-weak topologyHampel's theoremplug-in estimatoruniform weak law of large numbersfunction bracketKolmogorov \(\varphi\)-metriclocally compact and second countable Hausdorff spaceRio's maximal inequalityLévy \(\psi\)-metric

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Central limit and other weak theorems (60F05) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: A new concept of (asymptotic) qualitative robustness for plug-in estimators based on identically distributed possibly dependent observations is introduced, and it is shown that Hampel's theorem for general metrics $d$ still holds. Since Hampel's theorem assumes the UGC property w.r.t. $d$, that is, convergence in probability of the empirical probability measure to the true marginal distribution w.r.t. $d$ uniformly in the class of all admissible laws on the sample path space, this property is shown for a large class of strongly mixing laws for three different metrics $d$. For real-valued observations, the UGC property is established for both the Kolomogorov $phi$-metric and the L'{e}vy $psi$-metric, and for observations in a general locally compact and second countable Hausdorff space the UGC property is established for a certain metric generating the $psi$-weak topology. The key is a new uniform weak LLN for strongly mixing random variables. The latter is of independent interest and relies on Rio's maximal inequality.

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Cited in

(9)

• Asymptotic stability of empirical processes and related functionals
• Donsker results for the empirical process indexed by functions of locally bounded variation and applications to the smoothed empirical process
• Qualitative robustness of von Mises statistics based on strongly mixing data
• The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
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