Bernoulli

  • Bernoulli
  • Volume 20, Number 3 (2014), 1372-1403.

Approximating class approach for empirical processes of dependent sequences indexed by functions

Herold Dehling, Olivier Durieu, and Marco Tusche

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Abstract

We study weak convergence of empirical processes of dependent data $(X_{i})_{i\geq0}$, indexed by classes of functions. Our results are especially suitable for data arising from dynamical systems and Markov chains, where the central limit theorem for partial sums of observables is commonly derived via the spectral gap technique. We are specifically interested in situations where the index class $\mathcal{F}$ is different from the class of functions $f$ for which we have good properties of the observables $(f(X_{i}))_{i\geq0}$. We introduce a new bracketing number to measure the size of the index class $\mathcal{F}$ which fits this setting. Our results apply to the empirical process of data $(X_{i})_{i\geq0}$ satisfying a multiple mixing condition. This includes dynamical systems and Markov chains, if the Perron–Frobenius operator or the Markov operator has a spectral gap, but also extends beyond this class, for example, to ergodic torus automorphisms.

Article information

Source
Bernoulli Volume 20, Number 3 (2014), 1372-1403.

Dates
First available in Project Euclid: 11 June 2014

Permanent link to this document
https://projecteuclid.org/euclid.bj/1402488943

Digital Object Identifier
doi:10.3150/13-BEJ525

Mathematical Reviews number (MathSciNet)
MR3217447

Zentralblatt MATH identifier
1307.60027

Keywords
Empirical processes indexed by classes of functions dependent data Markov chains dynamical systems ergodic torus automorphism weak convergence

Citation

Dehling, Herold; Durieu, Olivier; Tusche, Marco. Approximating class approach for empirical processes of dependent sequences indexed by functions. Bernoulli 20 (2014), no. 3, 1372--1403. doi:10.3150/13-BEJ525. https://projecteuclid.org/euclid.bj/1402488943


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