An Empirical Process Central Limit Theorem for Multidimensional Dependent Data (1110.0963v2)

Abstract: Let $(U_n(t)){t\in\R^d}$ be the empirical process associated to an $\R^d$-valued stationary process $(X_i){i\ge 0}$. We give general conditions, which only involve processes $(f(X_i)){i\ge 0}$ for a restricted class of functions $f$, under which weak convergence of $(U_n(t)){t\in\R^d}$ can be proved. This is particularly useful when dealing with data arising from dynamical systems or functional of Markov chains. This result improves those of [DDV09] and [DD11], where the technique was first introduced, and provides new applications.