Extension to higher dimensions of the Jaeschke-Eicker result on the standardized empirical process

J.H.J. Einmahl

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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. Key words and phrases: Asymptotic distribution, empirical process, heavy weights.
Original languageEnglish
Place of PublicationEindhoven
PublisherTechnische Universiteit Eindhoven
Number of pages7
Publication statusPublished - 1994

Publication series

NameMemorandum COSOR
Volume9431
ISSN (Print)0926-4493

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