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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
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
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
Linking options:
https://www.mathnet.ru/eng/vtpmk489 https://www.mathnet.ru/eng/vtpmk/y2018/i1/p5
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