The Annals of Probability

The Tight Constant in the Dvoretzky-Kiefer-Wolfowitz Inequality

P. Massart

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Abstract

Let $\hat{F}_n$ denote the empirical distribution function for a sample of $n$ i.i.d. random variables with distribution function $F$. In 1956 Dvoretzky, Kiefer and Wolfowitz proved that $P\big(\sqrt{n} \sup_x(\hat{F}_n(x) - F(x)) > \lambda\big) \leq C \exp(-2\lambda^2),$ where $C$ is some unspecified constant. We show that $C$ can be taken as 1 (as conjectured by Birnbaum and McCarty in 1958), provided that $\exp(-2\lambda^2) \leq \frac{1}{2}$. In particular, the two-sided inequality $P\big(\sqrt{n} \sup_x|\hat{F}_n(x) - F(x)| > \lambda\big) \leq 2 \exp(-2\lambda^2)$ holds without any restriction on $\lambda$. In the one-sided as well as in the two-sided case, the constants cannot be further improved.

Article information

Source
Ann. Probab. Volume 18, Number 3 (1990), 1269-1283.

Dates
First available: 19 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aop/1176990746

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aop/1176990746

Mathematical Reviews number (MathSciNet)
MR1062069

Zentralblatt MATH identifier
0713.62021

Subjects
Primary: 62E15: Exact distribution theory
Secondary: 62G15: Tolerance and confidence regions

Keywords
Brownian bridge empirical process Kolmogorov-Smirnov statistics

Citation

Massart, P. The Tight Constant in the Dvoretzky-Kiefer-Wolfowitz Inequality. The Annals of Probability 18 (1990), no. 3, 1269--1283. doi:10.1214/aop/1176990746. http://projecteuclid.org/euclid.aop/1176990746.


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