On the Glivenko-Cantelli Theorem for Weighted Empiricals Based on Independent Random Variables
Singh, Radhey S.
Ann. Probab., Tome 3 (1975) no. 6, p. 371-374 / Harvested from Project Euclid
For $X_1, \cdots, X_n$ independent real valued random variables and for $\alpha \in \lbrack 0, 1 \rbrack$, let $F_j(x) = \alpha P\lbrack X_j < x \rbrack + (1 - \alpha)P\lbrack X_j \leqq x \rbrack$ and $Y_j(x) = \alpha I_{\lbrack X_j < x \rbrack} + (1 - \alpha) I_{\lbrack X_j \leqq x \rbrack}$, where $I_A$ is the indicator function of the set $A$. For numbers $w_1, w_2, \cdots, w_n$, let $D_n = \sup_{x, \alpha} \max_{N \leqq n}|\sum^N_1 w_j(Y_j(x) - F_j(x))|$. We will obtain an exponential bound for $P\lbrack D_n \geqq a \rbrack$ and a rate for almost sure convergence of $D_n$. When $w_j \equiv 1$ the bound and the rate become, respectively, $4a \exp \{-2((a^2/n) - 1)\}$ and $O((n \log n)^{\frac{1}{2}})$.
Publié le : 1975-04-14
Classification:  Glivenko-Cantelli theorem,  weighted empiricals,  independent non-identically distributed,  Borel-Cantelli lemma,  60F10,  60F15
@article{1176996410,
     author = {Singh, Radhey S.},
     title = {On the Glivenko-Cantelli Theorem for Weighted Empiricals Based on Independent Random Variables},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 371-374},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996410}
}
Singh, Radhey S. On the Glivenko-Cantelli Theorem for Weighted Empiricals Based on Independent Random Variables. Ann. Probab., Tome 3 (1975) no. 6, pp.  371-374. http://gdmltest.u-ga.fr/item/1176996410/