On the minimizing point of the incorrectly centered empirical process and its limit distribution in nonregular experiments

Ferger, Dietmar

ESAIM: Probability and Statistics, Tome 9 (2005), pp. 307-322

Résumé

Let $F_n$ be the empirical distribution function (df) pertaining to independent random variables with continuous df $F$. We investigate the minimizing point ${\widehat{\tau }}_n$ of the empirical process $F_n-F_0$, where $F_0$ is another df which differs from $F$. If $F$ and $F_0$ are locally Hölder-continuous of order $\alpha$ at a point $\tau$ our main result states that $n^{1/\alpha }({\widehat{\tau }}_n-\tau )$ converges in distribution. The limit variable is the almost sure unique minimizing point of a two-sided time-transformed homogeneous Poisson-process with a drift. The time-transformation and the drift-function are of the type ${\left|t\right|}^{\alpha }$.

Détail

DOI : 10.1051/ps:2005014

Classification : 60E15, 60F05, 60F17, 62E20
Keywords: rescaled empirical process, argmin-CMT, Poisson-process, weak convergence in $D(\mathbb {R})$