Let $F$ be a distribution function and $F_n$ the corresponding empirical distribution function. By the empirical process theory, we have the following stochastic equicontinuity condition : for some constant $C$, $$ \mathbb{E} \sup_{|t-s|<\delta} |F_n(t) - F(t) - (F_n(s) - F(s))| \leq C \sqrt{\delta/n} $$ Now let $\phi$ be a smooth function, how can we find out the order of the following object: $$ \mathbb{E} \sup_{|t-s|<\delta} |\phi(F_n(t)) - \phi(F(t)) - (\phi(F_n(s)) - \phi(F(s)))| $$ That is, is there any way to establish the stochastic equicontinuity condition after the transformation $\phi$?
2026-02-23 09:43:21.1771839801
Maximal inequality regarding the empirical distribution function
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