A Functional Law of the Iterated Logarithm for Weighted Empirical Distributions
James, Barry R.
Ann. Probab., Tome 3 (1975) no. 6, p. 762-772 / Harvested from Project Euclid
Finkelstein's (1971) functional law of the iterated logarithm for empirical distributions is extended to cases where the empirical distribution is multiplied by a weight function, $w$. We let $X_1, X_2, \cdots$ be independent random variables each having the uniform distribution on $\lbrack 0, 1 \rbrack$, with $F_n$ the empirical df at stage $n$. The weight function $w$, defined on $\lbrack 0, 1 \rbrack$, is assumed to be bounded on interior intervals and to satisfy some smoothness conditions. Then convergence of the integral $\int^1_0 w^2(t)/\log \log(t^{-1}(1 - t)^{-1})dt$ is seen to be a necessary and sufficient condition for the sequence $\{U_n: n \geqq 3\}$, defined by $$U_n(t) = \frac{n^{\frac{1}{2}}w(t)(F_n(t) - t)}{(2 \log \log n)^{\frac{1}{2}}}$$ to be uniformly compact on a set of probability one, with set of limit points $$K_w = \{wf: f \in K\}$$. $K$ is the set set of absolutely continuous functions on $\lbrack 0, 1 \rbrack$ with $f(0) = 0 = f(1)$ and $$\int^1_0 \lbrack f'(t) \rbrack^2 dt \leqq 1.$$
Publié le : 1975-10-14
Classification:  Law of the iterated logarithm,  weighted empirical distribution functions,  relatively compact sequence,  Strassen-type limit set,  60F15,  60F20
@article{1176996263,
     author = {James, Barry R.},
     title = {A Functional Law of the Iterated Logarithm for Weighted Empirical Distributions},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 762-772},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996263}
}
James, Barry R. A Functional Law of the Iterated Logarithm for Weighted Empirical Distributions. Ann. Probab., Tome 3 (1975) no. 6, pp.  762-772. http://gdmltest.u-ga.fr/item/1176996263/