A local maximal inequality under uniform entropy.

Electron J Stat

Department of Mathematics, Faculty of Sciences, Vrije Universiteit De Boelelaan 1081a, 1081 HV Amsterdam,

Published: January 2011

We derive an upper bound for the mean of the supremum of the empirical process indexed by a class of functions that are known to have variance bounded by a small constant δ. The bound is expressed in the uniform entropy integral of the class at δ. The bound yields a rate of convergence of minimum contrast estimators when applied to the modulus of continuity of the contrast functions.

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Source
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3299941PMC
http://dx.doi.org/10.1214/11-EJS605DOI Listing

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