A limited in bandwidth uniformity for the functional limit law of the increments of the empirical process

TL;DR

This paper extends the uniform functional limit law for local empirical processes, focusing on bandwidth uniformity, under mild conditions on the process and the underlying distribution.

Contribution

It generalizes Mason's 2004 result by establishing a limit law with bandwidth uniformity for a broad class of empirical processes.

Findings

Established a uniform functional limit law for local empirical processes.

Extended Mason's 2004 results to include bandwidth uniformity.

Provided conditions under which the limit law holds.

Abstract

Consider the following local empirical process indexed by $K\in \mathcal{G}$, for fixed $h>0$ and $z\in \mathbb{R}^d$: $$G_n(K,h,z):=\sum_{i=1}^n K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big) - \mathbbE \Bigl(K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big)\Big),$$ where the $Z_i$ are i.i.d. on $\mathbb{R}^d$. We provide an extension of a result of Mason (2004). Namely, under mild conditions on $\mathcal{G}$ and on the law of $Z_1$, we establish a uniform functional limit law for the collections of processes $\bigl\{G_n(\cdot,h_n,z), z\in H, h\in [h_n,\mathfrak{h}_n]\big\}$, where $H\subset \mathbb{R}^d$ is a compact set with nonempty interior and where $h_n$ and $\mathfrak{h}_n$ satisfy the Cs\"{o}rg\H{o}-R\'{e}v\'{e}sz-Stute conditions.