Abstract
Let \((U_{n}(t))_{t\in\mathbb{R}^{d}}\) be the empirical process associated to an ℝd-valued stationary process (X i ) i≥0. In the present paper, we introduce very general conditions for weak convergence of \((U_{n}(t))_{t\in\mathbb{R}^{d}}\), which only involve properties of processes (f(X i )) i≥0 for a restricted class of functions \(f\in\mathcal{G}\). Our results significantly improve those of Dehling et al. (Stoch. Proc. Appl. 119(10):3699–3718, 2009) and Dehling and Durieu (Stoch. Proc. Appl. 121(5):1076–1096, 2011) and provide new applications.
The central interest in our approach is that it does not need the indicator functions which define the empirical process \((U_{n}(t))_{t\in\mathbb{R}^{d}}\) to belong to the class \(\mathcal{G}\). This is particularly useful when dealing with data arising from dynamical systems or functionals of Markov chains. In the proofs we make use of a new application of a chaining argument and generalize ideas first introduced in Dehling et al. (Stoch. Proc. Appl. 119(10):3699–3718, 2009) and Dehling and Durieu (Stoch. Proc. Appl. 121(5):1076–1096, 2011).
Finally we will show how our general conditions apply in the case of multiple mixing processes of polynomial decrease and causal functions of independent and identically distributed processes, which could not be treated by the preceding results in Dehling et al. (Stoch. Proc. Appl. 119(10):3699–3718, 2009) and Dehling and Durieu (Stoch. Proc. Appl. 121(5):1076–1096, 2011).
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Notes
ℕ:={0,1,…}, ℕ∗:=ℕ∖{0}.
Let \(\mathbb {D}([-\infty,\infty]^{d})\) be the space of generalized multidimensional càdlàg functions [−∞,∞]d→ℝ (for definition, see [16, p. 1286]), equipped with the multidimensional Skorokhod metric d 0 as introduced in [16, p. 1289] (see also [17]). Note that \((\mathbb{D}([-\infty ,\infty]^{d}),d_{0})\) is a complete and separable space (more precisely, [16] and [17] proved this for the space \(\mathbb {D}([0,1]^{d})\), but—since [0,1] and [−∞,∞] are homeomorphic—the metric on \(\mathbb{D}([-\infty,\infty]^{d})\) can be naturally extended to a metric on \(\mathbb{D}([-\infty,\infty]^{d})\) which conserves all relevant properties (cf. [7, p. 1081f.])).
I.e., for a=(a 1,…,a d ) and b=(b 1,…,b d )∈[−∞,∞]d, write a≤b if and only if a i ≤b i for all i=1,…,d.
The reference to the indices j and m is omitted, since these are considered to be fixed.
Note that for continuous F, we have F∘F →(x)=x for all x∈[0,1].
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Acknowledgements
We would like to thank the anonymous referee for valuable comments and suggestions which helped to improve the first version of the paper. We are also grateful to Herold Dehling for many helpful discussions.
This research was partially supported by German Research Foundation grant DE 370-4 project New Techniques for Empirical Processes of Dependent Data.
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Durieu, O., Tusche, M. An Empirical Process Central Limit Theorem for Multidimensional Dependent Data. J Theor Probab 27, 249–277 (2014). https://doi.org/10.1007/s10959-012-0450-3
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DOI: https://doi.org/10.1007/s10959-012-0450-3