Marcinkiewicz-Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators
Abstract
Both Marcinkiewicz-Zygmund strong laws of large numbers (MZ-SLLNs) and ordinary strong laws of large numbers (SLLNs) for plug-in estimators of general statistical functionals are derived. It is used that if a statistical functional is "sufficiently regular", then a (MZ-) SLLN for the estimator of the unknown distribution function yields a (MZ-) SLLN for the corresponding plug-in estimator. It is in particular shown that many L-, V- and risk functionals are "sufficiently regular", and that known results on the strong convergence of the empirical process of \alpha-mixing random variables can be improved. The presented approach does not only cover some known results but also provides some new strong laws for plug-in estimators of particular statistical functionals.
Keywords
Cite
@article{arxiv.1301.0726,
title = {Marcinkiewicz-Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators},
author = {Henryk Zähle},
journal= {arXiv preprint arXiv:1301.0726},
year = {2013}
}