Argmax-stable marked empirical processes

Dietmar Ferger

Statistics & Probability Letters, 2009, vol. 79, issue 9, 1203-1206

Abstract: We consider a marked empirical process corresponding to a sample X1,...,Xn of independent and identically distributed random variables and exchangeable random marks C1,...,Cn. If the sum of all marks is equal to zero, then there exists a certain order statistic with random index, which is a maximizing point of the process. It is shown that for each finite sample size this point of maximum has the same distribution as X1 (argmax-stability). As an application we derive the exact distribution of an estimator for the discontinuity point in a regression function.

Date: 2009
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