Poisson convergence for set-indexed empirical processes

A compensator associated with a set-indexed single jump process is computed. This leads to a direct construction of a compensator associated with a set-indexed empirical process, where a family of i.i.d. random variables is given in a Euclidean space. It is then shown that if the distribution function is differentiable at the origin, the suitably resealed empirical process converges to a spatial Poisson process.

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Year of publication:	1997
Authors:	Ivanoff, B. Gail ; Merzbach, Ely
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 32.1997, 1, p. 81-86
Publisher:	Elsevier
Keywords:	Single jump process Empirical process Strong martingale Compensator Poisson process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138193