Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics]
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Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics], 2018, Issue 1, Pages 5–20
DOI: https://doi.org/10.26456/vtpmk489
(Mi vtpmk489)
 

Theory of Probability and Mathematical Statistics

An improvement of Massart's inequality for the distribution of Smirnov's statistic

I. A. Tashkov

Lomonosov Moscow State University, Moscow
References:
Abstract: Let $F_n$ be the empirical distribution function for a sample of independent identically distributed random variables with distribution function $F.$ The main result is the inequality
\begin{equation*} \mathbb{P}\{\sqrt n\sup_{|x|<\infty}(F_n(x)-F(x))>\lambda\}\leq \exp\{-2\lambda^2-\lambda^4/36n\} \end{equation*}
for $n\geq 39, \min\{ \gamma n^{-1/6}, \sqrt{\ln 2/2}\}\leq\lambda\leq\sqrt n/2, \gamma=1.0841.$ It is also proved for the same $n$ and $\lambda \leq \sqrt{n}/2$ that
\begin{equation*} \mathbb{P}\{\sqrt n\sup_{|x|<\infty}(F_n(x)-F(x))>\lambda\}\leq 2\exp^{(\ln 2)^2/(144n)}\exp\{-2\lambda^2-\lambda^4/36n\}. \end{equation*}
In particular cases $n=2,3,4$ it is proved that
\begin{equation*} \mathbb{P}\{\sqrt n\sup_{|x|<\infty}(F_n(x)-F(x))>\lambda\}\leq \exp\{-2\lambda^2-4\lambda^4/9n\}. \end{equation*}
Keywords: distribution of Smirnov’s statistics, exponential inequalities.
Received: 10.12.2017
Revised: 25.12.2017
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: I. A. Tashkov, “An improvement of Massart's inequality for the distribution of Smirnov's statistic”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2018, no. 1, 5–20
Citation in format AMSBIB
\Bibitem{Tas18}
\by I.~A.~Tashkov
\paper An improvement of Massart's inequality for the distribution of Smirnov's statistic
\jour Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.]
\yr 2018
\issue 1
\pages 5--20
\mathnet{http://mi.mathnet.ru/vtpmk489}
\crossref{https://doi.org/10.26456/vtpmk489}
\elib{https://elibrary.ru/item.asp?id=32697532}
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