Extension to higher dimensions of the jaeschke-eicker result on the standardized empirical process |
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Authors: | John HJ Einmahl |
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Institution: | Dept. of Mathematics and Computing Science , Eindhoven University of Technology , P.O,Box 513, Eindhoven, 5600, The Netherlands |
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Abstract: | The asymptotic distribution of the sup-norm of the heavily weighted empirical process is established in the multidimensional case. This theorem extends in particular the famous result in Jaeschke (1975, 1979) to higher dimensions. There is a striking difference between the behaviour for higher dimensions and that for dimension one, especially the limiting distribution is now a simple transformation of a standard exponential random variable. |
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Keywords: | Asymptotic distribution empirical process heavy weihts |
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