Measurability problems for empirical processes (Q1091031)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Measurability problems for empirical processes |
scientific article |
Statements
Measurability problems for empirical processes (English)
0 references
1987
0 references
Let \(X: T\times \Omega \to {\mathbb{R}}^ n\) be a uniformly bounded stochastic process, defined on a complete probability space (\(\Omega\),\(\Sigma\),P) with abstract index set T. The author introduces the notion of a consistent lifting \(\rho\) of \(L^{\infty}(\Omega)\) in such a way that in general the process \(\rho\) X has much better measurability properties than X and that \(\bar X=| \rho X-X|\) satisfies \(\bar X{}_ t=0\) a.s. for each \(t\in T.\) It is shown that X satisfies the CLT if and only if \(\rho\) X and \(\bar X\) satisfy the CLT, meaning that convergence in distribution (in an abstract sense) of appropriately centered and normalized partial sums to some Radon measure holds. This result is then applied to derive the following contraction principle without any measurability assumptions: Let X,Y be two uniformly bounded processes with \(| Y_ s(\omega)- Y_ t(\omega)| \leq | X_ s(\omega)-X_ t(\omega)|\) for all \(\omega\in \Omega\) and \(t\in T\). If X satisfies the CLT, then Y also satisfies the CLT.
0 references
Donsker class
0 references
consistent lifting
0 references
convergence in distribution
0 references
Radon measure
0 references
contraction principle
0 references
measurability assumptions
0 references