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Central Limit Theorems for Empirical Processes Based on Stochastic Processes

In this thesis, we study time-dependent empirical processes, which extend the classical empirical processes to have a time parameter; for example the empirical process for a sequence of independent stochastic processes {Yi : i ∈ N}:
(1) ν_n(t, y) = n^(−1/2 )Sigma[1_(Y i(t)¬<=y) – P(Yi(t) <= y)] from i=1 to n, t ∈ E, y ∈ R.

In the case of independent identically distributed samples (that is {Yi(t) : i ∈ N} are iid), Kuelbs et al. (2013) proved a Central Limit Theorem for ν_n(t, y) for a large class of stochastic processes.

In Chapter 3, we give a sufficient condition for the weak convergence of the weighted empirical process for iid samples from a uniform process:
(2) α_n(t, y) := n^(−1/2 )Sigma[w(y)(1_(X (t)<=y) – y)] from i=1 to n, t ∈ E, y ∈ [0, 1]
where {X (t), X1(t), X2(t), • • • } are independent and identically distributed uniform processes (for each t ∈ E, X (t) is uniform on (0, 1)) and w(x) is a “weight” function satisfying some regularity properties. Then we give an example when X (t) := Ft(Bt) : t ∈ E = [1, 2], where Bt is a Brownian motion and Ft is the distribution function of Bt.

In Chapter 4, we investigate the weak convergence of the empirical processes for non-iid samples. We consider the weak convergence of the empirical process:
(3) β_n(t, y) := n^(−1/2 )Sigma[(1_(Y (t)<=y) – Fi(t,y))] from i=1 to n, t ∈ E ⊂ R, y ∈ R
where {Yi(t) : i ∈ N} are independent processes and Fi(t, y) is the distribution function of Yi(t). We also prove that the covariance function of the empirical process for non-iid samples indexed by a uniformly bounded class of functions necessarily uniformly converges to the covariance function of the limiting Gaussian process for a CLT.

Identiferoai:union.ndltd.org:tamu.edu/oai:repository.tamu.edu:1969.1/151373
Date16 December 2013
CreatorsYang, Yuping
ContributorsZinn, Joel, Johnson, William B., Panchenko, Dmitry, Cline, Daren B.H.
Source SetsTexas A and M University
LanguageEnglish
Detected LanguageEnglish
TypeThesis, text
Formatapplication/pdf

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