Standardized sequential empirical processes

Authors
Csorgo, M Norvaisa, R
Citation
M. Csorgo et R. Norvaisa, Standardized sequential empirical processes, ST SCI M H, 34(1-3), 1998, pp. 51-69
Citations number
32
Categorie Soggetti
Mathematics
Journal title
STUDIA SCIENTIARUM MATHEMATICARUM HUNGARICA
ISSN journal
00816906 → ACNP
Volume
34
Issue
1-3
Year of publication
1998
Pages
51 - 69
Database
ISI
SICI code
0081-6906(1998)34:1-3<51:SSEP>2.0.ZU;2-U
Abstract
We study the asymptotic extreme value behaviour of standardized sequential empirical processes that are tied down at the points (0, 0) and (1, 1). The se types of empirical processes arise naturally ill the context of change-p oint, analysis. We relate their asymptotic behaviour to the extreme value d istribution of a two parameter Ornstein-Uhlenbeck process over a sequence o f expanding subsets of the unit square [0, 1](2).