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Joint approximation of processes based on spacings and order statistics

Author

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  • Barbe, Philippe

Abstract

Let [omega]1, [omega]2, ... be a sequence of i.i.d. r.v. with E[omega]1 [not equal to] 0 and Var [omega]i = 1. Under some weak conditions on the distribution of the [omega]i's, we give a joint approximation of the empirical process corresponding to and the empirical process corresponding to the spacings empirical distribution function . We apply this result to show that a large class of statistics based on spacings and order statistics of a uniform sample are asymptotically independent, leading to some improved goodness of fit tests.

Suggested Citation

  • Barbe, Philippe, 1994. "Joint approximation of processes based on spacings and order statistics," Stochastic Processes and their Applications, Elsevier, vol. 53(2), pages 339-349, October.
    • Handle: RePEc:eee:spapps:v:53:y:1994:i:2:p:339-349
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    Cited by:

    1. Sreenivasa Rao Jammalamadaka & Emanuele Taufer, 2001. "Testing Exponentiality by comparing the Empirical," Quaderni DISA 053, Department of Computer and Management Sciences, University of Trento, Italy, revised 12 Sep 2003.
    2. Arthur Lewbel & Susanne M. Schennach, 2003. "A Simple Ordered Data Estimator For Inverse Density Weighted Functions," Boston College Working Papers in Economics 557, Boston College Department of Economics, revised 01 May 2005.
    3. Lewbel, Arthur & Schennach, Susanne M., 2007. "A simple ordered data estimator for inverse density weighted expectations," Journal of Econometrics, Elsevier, vol. 136(1), pages 189-211, January.

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