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Strong approximation of quantile processes by iterated Kiefer processes. (English) Zbl 1044.60011

Summary: The notion of a \(k\)th iterated Kiefer process \({\mathcal K} (\nu,t;k)\) for \(k\in\mathbb{N}\) and \(\nu,t\in\mathbb{R}\) is introduced. We show that the uniform quantile process \(\beta_n(t)\) may be approximated on \([0,1]\) by \(n^{-1/2} {\mathcal K} (n,t;k)\), at an optimal uniform almost sure rate of \(O(n^{-1/2+1/2^{k+1} +o(1)})\) for each \(k\in\mathbb{N}\). Our arguments are based in part on a new functional limit law, of independent interest, for the increments of the empirical process. Applications include an extended version of the uniform Bahadur-Kiefer representation, together with strong limit theorems for nonparametric functional estimators.

MSC:

60F05 Central limit and other weak theorems
60F17 Functional limit theorems; invariance principles
62G20 Asymptotic properties of nonparametric inference
60G15 Gaussian processes
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