Empirical processes of dependent random variables

2004/12/14 by Wei Biao Wu, Wu, Wei Biao
Computer Science · Economics, Econometrics and Finance · Mathematics · #60F05 #60F17 #60G42 #Bayesian Methods and Mixture Models #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Dynamics and Fractals #Probability (math.PR) #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.math/0412267

openalex publication_date 2004/12/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Empirical processes for stationary, causal sequences are considered. We establish empirical central limit theorems for classes of indicators of left half lines, absolutely continuous functions and piecewise differentiable functions. Sample path properties of empirical distribution functions are also discussed. The results are applied to linear processes and Markov chains.

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