Communications in Statistics - Theory and Methods

ISSN: 0361-0926 (Print) 1532-415X (Online) Journal homepage: https://www.tandfonline.com/loi/lsta20

Strong uniform consistency rates of kernel

estimators of cumulative distribution functions

Fuxia Cheng

To cite this article: Fuxia Cheng (2017) Strong uniform consistency rates of kernel estimators
of cumulative distribution functions, Communications in Statistics - Theory and Methods, 46:14,
6803-6807, DOI: 10.1080/03610926.2015.1136417

To link to this article: https://doi.org/10.1080/03610926.2015.1136417

Accepted author version posted online: 01

Jul 2016.
Published online: 20 Mar 2017.

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COMMUNICATIONS IN STATISTICS—THEORY AND METHODS
, VOL. , NO. , –
http://dx.doi.org/./..

Strong uniform consistency rates of kernel estimators of

cumulative distribution functions
Fuxia Cheng
Department of Mathematics, Illinois State University, Normal, IL, USA

ABSTRACT ARTICLE HISTORY

In this paper we consider the uniform strong consistency, along with a Received  January 
rate, of the cumulative distribution function (CDF) estimator. We extend Accepted  December 
the extended Glivenko–Cantelli lemma (for empirical distribution func-
KEYWORDS
tion) in Fabian and Hannan (1985, pp. 80–83) to the kernel estimator of CDF; Glivenko–Cantelli
the CDF. lemma; kernel estimator.
MATHEMATICS SUBJECT
CLASSIFICATION
Primary F; Secondary
G

1. Introduction
Let X1 , X2 , . . . , Xn be a random sample of size n from a population with an unknown cumu-
lative distribution function (CDF). For the empirical distribution function Fn , defined as
follows,
1
n
Fn (x) = I(Xi ≤ x), ∀x ∈ R (1)
n i=1

where I denotes the indicator function, the classical Glivenko–Cantelli theorem says that
Fn (x) converges almost surely (a.s.) to F (x) uniformly in x ∈ R, i.e.,
sup |Fn (x) − F (x)| → 0, a.s.
x∈R

The extended Glivenko–Cantelli lemma (in Fabian and Hannan, 1985, pp. 80–83) states that
sup nα |Fn (x) − F (x)| → 0 a.s., for any 0 < α < 1/2 (2)
x∈R

One serious drawback of Fn is its discontinuity, regardless of F being continuous or discrete.

To remedy this deficiency of Fn , Yamato (1973) proposed the following kernel distribution
estimator:
 x n
F̂ (x) = n−1 kh (u − Xi )du, x ∈ R (3)
−∞ i=1

in which h = hn > 0 is called bandwidth, k is a probability density function (PDF) called

kernel, and kh (u) = k(u/h)/h.

CONTACT Fuxia Cheng fcheng@ilstu.edu Department of Mathematics, Illinois State University, Normal, IL , USA.
©  Taylor & Francis Group, LLC
6804 F. CHENG

Some asymptotic properties of the smooth estimator F̂ have been established. For example,
in Yamato (1973), the asymptotic normality and uniform strong consistency of F̂ are devel-
oped. Wang et al. (2013) obtained the simultaneous confidence bands for F based on F̂. Yet
the strong convergence rate of F̂ has not been considered.
We consider hereafter the strong convergence rate of smooth estimator F̂ for the unknown
Lipschitz continuous CDF F. More precisely, we are interested in extending the extended
Glivenko–Cantelli lemma (2) to the kernel estimator F̂.
In the following sections, all limits are taken as the sample size n tends to ∞, unless speci-
fied otherwise.
The outline of this paper is as follows. Section 2 describes the basic assumptions and main
results while Sec. 3 provides the details of the proof.

2. Assumptions and the main result

In this section we first state the assumptions on kernel function k.
Assumption k. Functions xk(x) and x2 k(x) are integrable on the whole real line, and the inte-
gral value of xk(x) is 0, i.e.,
 +∞
xk(x)dx = 0
−∞

Assumption needed on bandwidth hn is as follows:

nh4n → 0 (4)
The above assumptions will be used to show Theorem 2.1, which is about the uniform close-
ness between F̂ and Fn with rate being n−α with α being any number satisfying 0 ≤ α < 1/2.
Theorem 2.1. Assume that Assumption k and (4) hold. Then, for the continuous CDF F with
bounded second-order derivative, i.e., there exists a constant c (0 ≤ c < ∞) such that

|F (x)| ≤ c for any x ∈ R (5)
we have that
 
sup nα F̂ (x) − Fn (x) → 0, a.s. (6)
x∈R

where α is any number satisfying 0 ≤ α < 1/2.

Remark. For guaranteeing (6) holds, we do not require that the kernel k(.) is a continuous
function with support on [−1, 1] as in Wang, Cheng, and Yang (2013), although we may need
property (5) holds.

Combining Theorem (2.1) with the extended Glivenko–Cantelli lemma (2), we have the
following uniform strong consistency of F̂ for F with certain rate.
Theorem 2.2. Under the assumptions of Theorem (2.1), for any α satisfying 0 ≤ α < 1/2, we
have that
sup nα |F̂ (x) − F (x)| → 0, a.s. (7)
x∈R

The proofs of the above theorems are provided in the following section.
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 6805

3. Proofs
First, we shall give the detailed proof of Theorem 2.1.
Proof of Theorem 2.1. Denote
 x
K(x) = k(u)du
−∞

Then we can rewrite F̂ (x) in (3) as follows:

 n  x n  
−1 −1 x − Xi
F̂ (x) = n kh (u − Xi )du = n K
i=1 −∞ i=1
h

Using the definition of Fn (x) in (1), doing integration by parts and a change of variable
u = x−t
h
, we can continue to rewrite F̂ (x) as follows:
 +∞  
x−t
F̂ (x) = K dFn (t )
−∞ h
  +∞  +∞  
x−t  x−t 1
=K Fn (t ) + Fn (t )k dt
h −∞ −∞ h h
 +∞  
1 x−t
= Fn (t ) k dt
−∞ h h
 +∞
= Fn (x − hu)k(u)du (8)
−∞

Combining (8) with (1), it follows that

 +∞
F̂ (x) − Fn (x) = [Fn (x − hu) − Fn (x)]k(u)du (9)
−∞
 +∞
where we use the property −∞ k(u)du = 1.
Recall that Fn (x) is the empirical distribution function of the X1 , X2 , . . . , Xn , and the
extended Glivenko–Cantelli lemma in Fabian and Hannan (1985, pp. 80–83), we have that

sup nα |Fn (x) − F (x)| → 0, a.s., for any 0 ≤ α < 1/2 (10)
x∈R

Using the triangle inequality, (9), (10) and Assumption k, it follows that
 
   +∞ 
F̂ (x) − Fn (x) =  {Fn (x − hu) − Fn (x)} k(u)du

−∞
 
 +∞ +∞
=  {Fn (x − hu) − F (x − hu)} k(u)du + {Fn (x) − F (x)} k(u)du
−∞ −∞
 
+∞ 
+ {F (x − hu) − F (x)} k(u)du
−∞
 +∞  +∞
≤ |{Fn (x − hu)−F (x − hu)} k(u)| du+ |{Fn (x) − F (x)} k(u)| du
−∞ −∞
6806 F. CHENG

 
 +∞ 
+  {F (x − hu) − F (x)} k(u)du
−∞
≤ sup |Fn (x) − F (x)| + sup |Fn (x) − F (x)|
x∈R x∈R
 +∞ 
 
+  {F (x − hu) − F (x)} k(u)du
−∞
 +∞ 
 
−α
= o(n ) +   {F (x − hu) − F (x)} k(u)du , a.s. (11)
−∞

Thus, if we can show

 
 +∞ 
sup  {F (x − hu) − F (x)} k(u)du = o(n−1/2 ) (12)
x∈R −∞

then, by (11) and α < 1/2, we obtain the claim (6).

Now we proceed to prove (12). Using Taylor’s expansion, we obtain that there exists x∗
(which is between x and x − hu) such that
 1 
F (x − hu) − F (x) = −F (x)hu + F (x∗ )h2 u2
2
and thus, for any x ∈ R and u ∈ R,
 +∞    
   +∞
1  ∗ 2 2 
 {F (x − hu) − F (x)} k(u)du = −F (x)hu + F (x )h u k(u)du

   2
−∞ −∞
 +∞ 
 1  ∗ 2 2 

= F (x )h u k(u)du
−∞ 2
 +∞
1 2
≤ ch u2 k(u)du
2 −∞

= O(h2 ) = o(n−1/2 ) (13)

 +∞  +∞ 2
where we use properties −∞ uk(u)du = 0 and −∞ u k(u)du < ∞ in Assumption k,

|F (x∗ )| ≤ c in (5), and h2 = o(n−1/2 ) guaranteed by (4).
Since the inequality in (13) is valid for any x ∈ R, we can easily see that (12) holds.
Therefore we have finished the proof of Theorem 2.1. 
Proof of Theorem 2.2. Rewrite |F̂ (x) − F (x)| and using the triangle inequality, it follows that
 
|F̂ (x) − F (x)| = F̂ (x) − Fn (x) + Fn (x) − F (x)
 
≤ F̂ (x) − Fn (x) + |Fn (x) − F (x)|
Then, we have that
 
sup |F̂ (x) − F (x)| ≤ sup F̂ (x) − Fn (x) + sup |Fn (x) − F (x)|
x∈R x∈R x∈R

1
= o(n−α ), a.s., for any α satisfying 0 ≤ α <
2
where we use (2) and (6).
Hence we have completed the proof of Theorem 2.2. 
 COMMUNICATIONS IN STATISTICS—THEORY AND METHODS 6807

Remark. In Theorems (2.1) and (2.2), we require that the function F should have bounded
second-order derivative. If the function F does not have second-order derivative, but has a
bounded first-order derivative, Theorems (2.1) and (2.2) can still hold under strong assump-
tion on bandwidth h, for example, h satisfying
nh2 → 0

References
Fabian, V., Hannan, J. (1985). Introduction to Probability and Mathematical Statistics. New York: Wiley,
ISBN-13:978-0471250234.
Wang, J., Cheng, F., Yang, L. (2013). Smooth simultaneous confidence band for cumulative distribution
function. J. Nonparamet. Stat. 25:395–407.
Yamato, H. (1973). Uniform convergence of an estimator of a distribution function. Bull. Math. Stat.
15:69–78.