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.
|Journal||Communications in Statistics. Part A, Theory and Methods|
|Publication status||Published - 1996|