Randomized empirical processes and confidence bands via virtual resampling

DOI10.1016/J.SPA.2023.104290MaRDI QIDQ6123269zbMATH OpenFDO

Authors Miklós Csörgo

Publication date 4 March 2024

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

Full work available at URL https://arxiv.org/abs/1802.04380

zbMATH Keywords

big data setsBrownian bridgeconfidence bands for empirical and theoretical distributionsfinite and infinite populationsvirtual resamplingweak convergence of empirical processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Abstract: Let $X,X_1,X_2,cdots$ be independent real valued random variables with a common distribution function $F$, and consider $X_1,cdots,X_N$, possibly a big concrete data set, or an imaginary random sample of size $Ngeq1$ on $X$. In the latter case, or when a concrete data set in hand is too big to be entirely processed, then the sample distribution function $F_N$ and the the population distribution function $F$ are both to be estimated. This, in this paper, is achieved via viewing $X_1,cdots,X_N$ as above, as a finite population of real valued random variables with $N$ labeled units, and sampling its indices $1,cdots,N$ with replacement $m_N:=su{m}_{i=1}^N{w}_i^{(N)}$ times so that for each $1leqileqN$, $w_i^{(N)}$ is the count of number of times the index $i$ of $X_i$ is chosen in this virtual resampling process. This exposition extends the Doob-Donsker classical theory of weak convergence of empirical processes to that of the thus created randomly weighted empirical processes when $N,m_{N}ightarrowinfty$ so that $m_N=o(N^2)$.

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