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Empirical distribution of survival function for strong and uniformly mixing stochastic process. (English) Zbl 1141.62077

Summary: Let \(\{X_{n}, n \geq 1\}\) be an \(R\)-valued stochastic process with a common probability density function \(f(x)\), distribution function \(F(x)\) and survival function \(\overline {F}(x) = 1 - F(x) = P(X > x)\). We suppose that the process is strongly mixing and the empirical survival function \(\overline {F_{n}}(x)\) based on \(X_{1}, \cdots , X_{n}\) is proposed as an estimator for \(F(x)\). Strong consistency and pointwise as well as uniform asymptotic normality of \(\overline {F_{n}}(x)\) are discussed.

MSC:

62N02 Estimation in survival analysis and censored data
62G30 Order statistics; empirical distribution functions
62M09 Non-Markovian processes: estimation
62E20 Asymptotic distribution theory in statistics
60F05 Central limit and other weak theorems