The Law of the Iterated Logarithm for a Triangular Array of Empirical Processes

Miguel A. Arcones (State University of New York)

Abstract


We study the compact law of the iterated logarithm for a certain type of triangular arrays of empirical processes, appearing in statistics (M-estimators, regression, density estimation, etc). We give necessary and sufficient conditions for the law of the iterated logarithm of these processes of the type of conditions used in Ledoux and Talagrand (1991): convergence in probability, tail conditions and total boundedness of the parameter space with respect to certain pseudometric. As an application, we consider the law of the iterated logarithm for a class of density estimators. We obtain the order of the optimal window for the law of the iterated logarithm of density estimators. We also consider the compact law of the iterated logarithm for kernel density estimators when they have large deviations similar to those of a Poisson process.

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Pages: 1-39

Publication Date: August 18, 1997

DOI: 10.1214/EJP.v2-19

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