Strong approximations for the $p$-fold integrated empirical process with applications to statistical tests
Résumé
The main purpose of this paper is to investigate the strong approximation of the $p$-fold integrated empirical process, $p$ being a fixed positive integer. More precisely, we obtain the exact rate of the approximations by a sequence of weighted Brownian bridges and a weighted Kiefer process. Our arguments are based in part on results of Koml\'os, Major and Tusn\'ady (1975).
Applications include the two-sample testing procedures together with the change-point problems. We also consider the strong approximation of integrated empirical processes when the parameters are estimated. Finally, we study the behavior of the self-intersection local time of the partial sum process representation of integrated empirical processes.
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