Wei, Fan; Dudley, Richard M. - In: Statistics & Probability Letters 82 (2012) 3, pp. 636-644
The Dvoretzky–Kiefer–Wolfowitz (DKW) inequality says that if Fn is an empirical distribution function for variables i.i.d. with a distribution function F, and Kn is the Kolmogorov statistic nsupx|(Fn−F)(x)|, then there is a constant C such that for any M0, Pr(KnM)≤Cexp(−2M2). Massart...