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The weak convergence of the empirical process with random sample size†

Published online by Cambridge University Press:  24 October 2008

Ronald Pyke
Ronald Pyke
Affiliation:
University of Washington
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In many applied probability models, one is concerned with a sequence {Xn: n > 1} of independent random variables (r.v.'s) with a common distribution function (d.f.), F say. When making statistical inferences within such a model, one frequently must do so on the basis of observations X1, X2,…, XN where the sample size N is a r.v. For example, N might be the number of observations that it was possible to take within a given period of time or within a fixed cost of experimentation. In cases such as these it is not uncommon for statisticians to use fixed-sample-size techniques, even though the random sample size, N, is not independent of the sample. It is therefore important to investigate the operating characteristics of these techniques under random sample sizes. Much work has been done since 1952 on this problem for techniques based on the sum, X1 + … + XN (see, for example, the references in (3)). Also, for techniques based on max(X1, X2, …, XN), results have been obtained independently by Barndorff-Nielsen(2) and Lamperti(9).

Type
Research Article
Information
Mathematical Proceedings of the Cambridge Philosophical Society , Volume 64 , Issue 1 , January 1968 , pp. 155 - 160
Copyright
Copyright © Cambridge Philosophical Society 1968

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References

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