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JOURNALS // Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics] // Archive

Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2018 Issue 1, Pages 5–20 (Mi vtpmk489)

Theory of Probability and Mathematical Statistics

An improvement of Massart's inequality for the distribution of Smirnov's statistic

I. A. Tashkov

Lomonosov Moscow State University, Moscow

Abstract: Let $F_n$ be the empirical distribution function for a sample of independent identically distributed random variables with distribution function $F.$ The main result is the inequality
\begin{equation*} \mathbb{P}\{\sqrt n\sup_{|x|<\infty}(F_n(x)-F(x))>\lambda\}\leq \exp\{-2\lambda^2-\lambda^4/36n\} \end{equation*}
for $n\geq 39, \min\{ \gamma n^{-1/6}, \sqrt{\ln 2/2}\}\leq\lambda\leq\sqrt n/2, \gamma=1.0841.$ It is also proved for the same $n$ and $\lambda \leq \sqrt{n}/2$ that
\begin{equation*} \mathbb{P}\{\sqrt n\sup_{|x|<\infty}(F_n(x)-F(x))>\lambda\}\leq 2\exp^{(\ln 2)^2/(144n)}\exp\{-2\lambda^2-\lambda^4/36n\}. \end{equation*}
In particular cases $n=2,3,4$ it is proved that
\begin{equation*} \mathbb{P}\{\sqrt n\sup_{|x|<\infty}(F_n(x)-F(x))>\lambda\}\leq \exp\{-2\lambda^2-4\lambda^4/9n\}. \end{equation*}


Keywords: distribution of Smirnov’s statistics, exponential inequalities.

UDC: 519.2

Received: 10.12.2017
Revised: 25.12.2017

DOI: 10.26456/vtpmk489



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