Let S be the space of real cadlag functions on R with finite limits at 1, equipped with uniform distance, and let Xn be the empirical process for an exchangeable sequence of random variables. If regarded as a random element of S, Xn can fail to converge in distribution. However, in this paper, it is shown that Ef ðXnÞ ! Ef ðXÞ for each bounded uniformly continuous function f on S, where X is some (nonnecessarily measurable) random element of S. In view of this fact, among other things, a conjecture raised in [P. Berti, P. Rigo, Convergence in distribution of nonmeasurable random elements, Ann. Probab. 32 (2004) 365–379] is settled and necessary and sufficient conditions for Xn to converge in distribution are obtained.
Patrizia Berti, L.P. (2006). Asymptotic behaviour of the empirical process for exchangeable data. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 116, 337-344.
Asymptotic behaviour of the empirical process for exchangeable data
Pietro Rigo
2006
Abstract
Let S be the space of real cadlag functions on R with finite limits at 1, equipped with uniform distance, and let Xn be the empirical process for an exchangeable sequence of random variables. If regarded as a random element of S, Xn can fail to converge in distribution. However, in this paper, it is shown that Ef ðXnÞ ! Ef ðXÞ for each bounded uniformly continuous function f on S, where X is some (nonnecessarily measurable) random element of S. In view of this fact, among other things, a conjecture raised in [P. Berti, P. Rigo, Convergence in distribution of nonmeasurable random elements, Ann. Probab. 32 (2004) 365–379] is settled and necessary and sufficient conditions for Xn to converge in distribution are obtained.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.