A uniform limit theorem for predictive distributions

Patrizia Berti and Pietro Rigo

Statistics & Probability Letters, 2002, vol. 56, issue 2, 113-120

Abstract: Let be a filtration, {Xn} an adapted sequence of real random variables, and {[alpha]n} a predictable sequence of non-negative random variables with [alpha]1>0. Set and define the random distribution functions and . Under mild assumptions on {[alpha]n}, it is shown that , a.s. on the set {Fn or Bn convergesuniformly}. Moreover, conditions are given under which Fn converges uniformly with probability 1.

Keywords: Almost; sure; uniform; convergence; Empirical; distribution; Predictive; distribution (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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