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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 4, Pages 766–786
(Mi tvp3979)
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This article is cited in 5 scientific papers (total in 5 papers)
The rate of convergence of the Smirnov–Mises statistic's distribution
A. I. Orlov Central Economics and Mathematics Institute, USSR Academy of Sciences
Abstract:
We consider $n$ independent random variables with a continuous distribution function $F(x)$ and empirical distribution function $F_n(x)$. Put
$$
\omega_n^2=n\int_{-\infty}^\infty(F_n(x)-F(x))^2\,dF(x)
$$
and
\begin{gather*}
S(z)=\lim_{n\to\infty}\mathbf P\{\omega_n^2<z\},
\\
\Delta_n=\sup_{-\infty<z<\infty}|\mathbf P\{\omega^2<z\}-S(z)|.
\end{gather*}
Many papers dealt with the estimate: For each $\varepsilon>0$, there exists a $b(\varepsilon)$ such that
$$
\Delta_n<b(\varepsilon)n^{-a+\varepsilon}
$$
for $n=1,2,\dots$.
The inequality (1) is proved for $a=1/10$ [7], $a=1/6$ [8], $a=1/4$ [9], $a=1/3$ [10].
In the present paper, we obtain (1) for $a=1/2$.
Received: 02.02.1972
Citation:
A. I. Orlov, “The rate of convergence of the Smirnov–Mises statistic's distribution”, Teor. Veroyatnost. i Primenen., 19:4 (1974), 766–786; Theory Probab. Appl., 19:4 (1975), 737–757
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