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A limited in bandwidth uniformity for the functional limit law of the increments of the empirical process

Abstract

Consider the following local empirical process indexed by KGK\in \mathcal{G}, for fixed h>0h>0 and zRdz\in \mathbb{R}^d: G_n(K,h,z):=\sum_{i=1}^n K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big) - \mathbbE \Bigl(K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big)\Big), where the ZiZ_i are i.i.d. on Rd\mathbb{R}^d. We provide an extension of a result of Mason (2004). Namely, under mild conditions on G\mathcal{G} and on the law of Z1Z_1, we establish a uniform functional limit law for the collections of processes {Gn(,hn,z),zH,h[hn,hn]}\bigl\{G_n(\cdot,h_n,z), z\in H, h\in [h_n,\mathfrak{h}_n]\big\}, where HRdH\subset \mathbb{R}^d is a compact set with nonempty interior and where hnh_n and hn\mathfrak{h}_n satisfy the Cs\"{o}rg\H{o}-R\'{e}v\'{e}sz-Stute conditions.

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