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Dvoretzky–Kiefer–Wolfowitz inequality

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attempt to only achieve the confidence level on each individual point, which can allow for a tighter bound. The DKW bounds runs parallel to, and is equally above and below, the empirical CDF. The equally spaced confidence interval around the empirical CDF allows for different rates of violations
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The above chart shows an example application of the DKW inequality in constructing confidence bounds (in purple) around an empirical distribution function (in light blue). In this random draw, the true CDF (orange) is entirely contained within the DKW
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across the support of the distribution. In particular, it is more common for a CDF to be outside of the CDF bound estimated using the DKW inequality near the median of the distribution than near the endpoints of the distribution.
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and McCarty. In 2021, Michael Naaman proved the multivariate version of the DKW inequality and generalized Massart's tightness result to the multivariate case, which results in a sharp constant of twice the dimension
768:{\displaystyle \Pr {\Bigl (}\sup _{x\in \mathbb {R} }{\bigl (}F_{n}(x)-F(x){\bigr )}>\varepsilon {\Bigr )}\leq e^{-2n\varepsilon ^{2}}\qquad {\text{for every }}\varepsilon \geq {\sqrt {{\tfrac {1}{2n}}\ln 2}},} 1290: 315: 1695: 1721: 1853: 1996: 923:{\displaystyle \Pr {\Bigl (}\sup _{x\in \mathbb {R} }|F_{n}(x)-F(x)|>\varepsilon {\Bigr )}\leq 2e^{-2n\varepsilon ^{2}}\qquad {\text{for every }}\varepsilon >0.} 545: 209:{\displaystyle \Pr {\Bigl (}\sup _{x\in \mathbb {R} }|F_{n}(x)-F(x)|>\varepsilon {\Bigr )}\leq Ce^{-2n\varepsilon ^{2}}\qquad {\text{for every }}\varepsilon >0.} 1748: 1827: 461: 1768: 1230:{\displaystyle \sup _{x\in \mathbb {R} }|F_{n}(x)-F(x)|\;{\stackrel {d}{=}}\;\sup _{x\in \mathbb {R} }|G_{n}(F(x))-F(x)|\leq \sup _{0\leq t\leq 1}|G_{n}(t)-t|,} 569: 509: 489: 1661:{\displaystyle \Pr {\Bigl (}{\sqrt {n}}\sup _{t\in [0,\infty )}|(1-G(t))(F_{n}(t)-F(t))|>\varepsilon {\Bigr )}\leq 2.5e^{-2\varepsilon ^{2}+C\varepsilon }} 1793: 1779: 1980:{\displaystyle F_{n}(x)-\varepsilon \leq F(x)\leq F_{n}(x)+\varepsilon \;{\text{ where }}\varepsilon ={\sqrt {\frac {\ln {\frac {2}{\alpha }}}{2n}}}} 2417: 285: 2422: 2358: 2327: 2145: 1436:{\displaystyle \Pr {\Bigl (}\sup _{t\in \mathbb {R} ^{k}}|F_{n}(t)-F(t)|>\varepsilon {\Bigr )}\leq (n+1)ke^{-2n\varepsilon ^{2}}} 954: 1990:
which is also a special case of the asymptotic procedure for the multivariate case, whereby one uses the following critical value
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Bitouze, D.; Laurent, B.; Massart, P. (1999), "A Dvoretzky–Kiefer–Wolfowitz type inequality for the Kaplan–Meier estimator",
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The Dvoretzky–Kiefer–Wolfowitz inequality is one method for generating CDF-based confidence bounds and producing a
1792:. The purpose of this confidence interval is to contain the entire CDF at the specified confidence level, while 2107: 424:{\displaystyle F_{n}(x)={\frac {1}{n}}\sum _{i=1}^{n}\mathbf {1} _{\{X_{i}\leq x\}},\qquad x\in \mathbb {R} .} 2141:"Asymptotic minimax character of the sample distribution function and of the classical multinomial estimator" 2187: 1674: 2386: 2225:"A distribution-free upper confidence bound for Pr{Y<X}, based on independent samples of X and Y" 938: 1700: 2300: 2072:{\displaystyle {\frac {d(\alpha ,k)}{\sqrt {n}}}={\sqrt {\frac {\ln {\frac {2k}{\alpha }}}{2n}}}} 1832: 2354: 2323: 514: 592: > 0 anywhere on the real line. More precisely, there is the one-sided estimate 2394: 2290: 2254: 2236: 2196: 2154: 2250: 2210: 2168: 1726: 2258: 2246: 2206: 2164: 2136: 2128: 1803: 575: 437: 288: 61: 53: 2390: 2346: 1753: 554: 494: 474: 235: 227: 2398: 2411: 2342: 2304: 2224: 2140: 2279:"On the tight constant in the multivariate Dvoretzky–Kiefer–Wolfowitz inequality" 2182: 29: 2295: 2278: 2241: 2159: 1462: + 1) term can be replaced with a 2 for any sufficiently large  33: 2201: 1478:
which is a right-censored data analog of the empirical distribution function
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Kosorok, M.R. (2008), "Chapter 11: Additional Empirical Process Results",
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The Dvoretzky–Kiefer–Wolfowitz inequality bounds the probability that the
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tends to infinity. It also estimates the tail probability of the
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Introduction to Empirical Processes and Semiparametric Inference
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The Dvoretzky–Kiefer–Wolfowitz inequality is obtained for the
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where these are independent and Uniform(0,1), and noting that
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Empirical Processes with Applications to Statistics
2094: + 1) for a test that holds for all  2110:– a summary of bounds on sets of random variables. 2071: 1979: 1847: 1821: 1762: 1742: 1715: 1689: 1660: 1435: 1229: 922: 767: 563: 539: 503: 483: 455: 423: 243:of the space in which the observations are found: 223:in front of the exponent on the right-hand side. 208: 1615: 1493: 1381: 1299: 868: 793: 686: 607: 219:with an unspecified multiplicative constant  154: 79: 1506: 1488: 1305: 1294: 1168: 1094: 1014: 799: 788: 613: 602: 85: 74: 234: = 2, confirming a conjecture due to 230:proved the inequality with the sharp constant 673: 632: 38:Dvoretzky–Kiefer–Wolfowitz–Massart inequality 8: 2082:for the multivariate test; one may replace 2 398: 379: 46:empirically determined distribution function 1780:CDF-based nonparametric confidence interval 1933: 1092: 1075: 551:of random variables that are smaller than 2294: 2240: 2200: 2158: 2042: 2032: 2000: 1998: 1955: 1945: 1934: 1912: 1869: 1863: 1834: 1805: 1800:The interval that contains the true CDF, 1755: 1734: 1728: 1702: 1676: 1641: 1630: 1614: 1613: 1602: 1569: 1533: 1509: 1498: 1492: 1491: 1486: 1425: 1411: 1380: 1379: 1368: 1338: 1329: 1321: 1317: 1316: 1308: 1298: 1297: 1292: 1284:is the multivariate empirical cdf, then 1219: 1198: 1189: 1171: 1159: 1120: 1111: 1105: 1104: 1097: 1084: 1079: 1077: 1076: 1070: 1040: 1031: 1025: 1024: 1017: 1011: 906: 897: 883: 867: 866: 855: 825: 816: 810: 809: 802: 792: 791: 786: 734: 732: 721: 712: 698: 685: 684: 672: 671: 641: 631: 630: 624: 623: 616: 606: 605: 600: 556: 522: 516: 496: 476: 439: 414: 413: 386: 378: 373: 366: 355: 341: 323: 317: 192: 183: 169: 153: 152: 141: 111: 102: 96: 95: 88: 78: 77: 72: 2223:Birnbaum, Z. W.; McCarty, R. C. (1958). 1770:is the censoring distribution function. 778:which also implies a two-sided estimate 18: 2120: 286:independent and identically distributed 2375:Annales de l'Institut Henri Poincaré B 7: 2272: 2270: 2268: 64:, who in 1956 proved the inequality 1750:is the Kaplan–Meier estimator, and 2283:Statistics and Probability Letters 1790:Kolmogorov–Smirnov confidence band 1710: 1525: 14: 2229:Annals of Mathematical Statistics 2146:Annals of Mathematical Statistics 1690:{\displaystyle \varepsilon >0} 982:is the empirical distribution of 1788:, which is sometimes called the 374: 293:cumulative distribution function 905: 720: 406: 307:empirical distribution function 191: 48:from its associated population 2418:Asymptotic theory (statistics) 2018: 2006: 1924: 1918: 1902: 1896: 1881: 1875: 1816: 1810: 1603: 1599: 1596: 1590: 1581: 1575: 1562: 1559: 1556: 1550: 1538: 1534: 1528: 1516: 1401: 1389: 1369: 1365: 1359: 1350: 1344: 1330: 1220: 1210: 1204: 1190: 1160: 1156: 1150: 1141: 1138: 1132: 1126: 1112: 1071: 1067: 1061: 1052: 1046: 1032: 964:has the same distributions as 856: 852: 846: 837: 831: 817: 668: 662: 653: 647: 588:by more than a given constant 534: 528: 450: 444: 335: 329: 142: 138: 132: 123: 117: 103: 1: 2399:10.1016/S0246-0203(99)00112-0 1240:with equality if and only if 1716:{\displaystyle C<\infty } 947:Kolmogorov–Smirnov statistic 2444: 1777: 1252:In the multivariate case, 2322:, Springer, p. 210, 2296:10.1016/j.spl.2021.109088 1848:{\displaystyle 1-\alpha } 1277:-dimensional vectors. If 1273:is an i.i.d. sequence of 935:Glivenko–Cantelli theorem 2423:Statistical inequalities 2277:Naaman, Michael (2021). 2108:Concentration inequality 1458: > 0. The ( 540:{\displaystyle F_{n}(x)} 2242:10.1214/aoms/1177706631 2160:10.1214/aoms/1177728174 259:Given a natural number 2202:10.1214/aop/1176990746 2073: 1981: 1855:is often specified as 1849: 1823: 1794:alternative approaches 1764: 1744: 1717: 1697:and for some constant 1691: 1662: 1476:Kaplan–Meier estimator 1470:Kaplan–Meier estimator 1437: 1231: 953:corresponds to be the 924: 769: 565: 541: 505: 485: 457: 425: 371: 305:denote the associated 210: 25: 16:Statistical inequality 2188:Annals of Probability 2074: 1982: 1850: 1824: 1765: 1745: 1743:{\displaystyle F_{n}} 1718: 1692: 1663: 1438: 1232: 933:This strengthens the 925: 770: 566: 542: 506: 486: 458: 426: 351: 211: 50:distribution function 22: 2181:Massart, P. (1990), 1997: 1862: 1833: 1822:{\displaystyle F(x)} 1804: 1754: 1727: 1701: 1675: 1485: 1291: 1010: 955:uniform distribution 785: 599: 555: 515: 495: 475: 456:{\displaystyle F(x)} 438: 316: 71: 52:. It is named after 2391:1999AIHPB..35..735B 1829:, with probability 939:rate of convergence 937:by quantifying the 2069: 1977: 1845: 1819: 1774:Building CDF bands 1760: 1740: 1713: 1687: 1658: 1532: 1433: 1328: 1227: 1188: 1110: 1030: 920: 815: 765: 749: 629: 561: 537: 501: 481: 453: 421: 255:The DKW inequality 206: 101: 26: 2428:Empirical process 2067: 2066: 2055: 2027: 2026: 1975: 1974: 1963: 1937: 1936: where  1763:{\displaystyle G} 1505: 1503: 1304: 1248:Multivariate case 1167: 1093: 1089: 1013: 909: 798: 760: 748: 724: 612: 564:{\displaystyle x} 504:{\displaystyle x} 484:{\displaystyle X} 349: 195: 84: 28:In the theory of 2435: 2402: 2401: 2370: 2364: 2363: 2339: 2333: 2332: 2315: 2309: 2308: 2298: 2274: 2263: 2262: 2244: 2220: 2214: 2213: 2204: 2195:(3): 1269–1283, 2178: 2172: 2171: 2162: 2125: 2078: 2076: 2075: 2070: 2068: 2065: 2057: 2056: 2051: 2043: 2034: 2033: 2028: 2022: 2021: 2001: 1986: 1984: 1983: 1978: 1976: 1973: 1965: 1964: 1956: 1947: 1946: 1938: 1935: 1917: 1916: 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365: 350: 342: 328: 327: 289:random variables 215: 213: 212: 207: 196: 193: 190: 189: 188: 187: 158: 157: 145: 116: 115: 106: 100: 99: 83: 82: 2443: 2442: 2438: 2437: 2436: 2434: 2433: 2432: 2408: 2407: 2406: 2405: 2372: 2371: 2367: 2361: 2341: 2340: 2336: 2330: 2317: 2316: 2312: 2276: 2275: 2266: 2222: 2221: 2217: 2180: 2179: 2175: 2127: 2126: 2122: 2117: 2104: 2058: 2044: 2035: 2002: 1995: 1994: 1966: 1948: 1908: 1865: 1860: 1859: 1831: 1830: 1802: 1801: 1786:confidence band 1782: 1776: 1752: 1751: 1730: 1725: 1724: 1699: 1698: 1673: 1672: 1637: 1626: 1565: 1483: 1482: 1472: 1421: 1407: 1334: 1315: 1289: 1288: 1282: 1271: 1265: 1258: 1250: 1244:is continuous. 1194: 1116: 1036: 1008: 1007: 1001: 995: 988: 980: 969: 962: 908:for every  893: 879: 821: 783: 782: 740: 723:for every  708: 694: 637: 597: 596: 582: 576:random function 553: 552: 518: 513: 512: 493: 492: 473: 472: 436: 435: 382: 372: 319: 314: 313: 303: 284:be real-valued 282: 276: 269: 257: 194:for every  179: 165: 107: 69: 68: 62:Jacob Wolfowitz 54:Aryeh Dvoretzky 17: 12: 11: 5: 2441: 2439: 2431: 2430: 2425: 2420: 2410: 2409: 2404: 2403: 2365: 2359: 2334: 2328: 2310: 2264: 2215: 2173: 2153:(3): 642–669, 2119: 2118: 2116: 2113: 2112: 2111: 2103: 2100: 2080: 2079: 2064: 2061: 2054: 2050: 2047: 2041: 2038: 2031: 2025: 2020: 2017: 2014: 2011: 2008: 2005: 1988: 1987: 1972: 1969: 1962: 1959: 1954: 1951: 1944: 1941: 1932: 1929: 1926: 1923: 1920: 1915: 1911: 1907: 1904: 1901: 1898: 1895: 1892: 1889: 1886: 1883: 1880: 1877: 1872: 1868: 1844: 1841: 1838: 1818: 1815: 1812: 1809: 1775: 1772: 1759: 1737: 1733: 1712: 1709: 1706: 1686: 1683: 1680: 1669: 1668: 1655: 1652: 1649: 1644: 1640: 1636: 1633: 1629: 1625: 1622: 1617: 1612: 1609: 1605: 1601: 1598: 1595: 1592: 1589: 1586: 1583: 1580: 1577: 1572: 1568: 1564: 1561: 1558: 1555: 1552: 1549: 1546: 1543: 1540: 1536: 1530: 1527: 1524: 1521: 1518: 1515: 1512: 1508: 1502: 1495: 1490: 1471: 1468: 1444: 1443: 1428: 1424: 1420: 1417: 1414: 1410: 1406: 1403: 1400: 1397: 1394: 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409: 405: 400: 397: 394: 389: 385: 381: 376: 369: 364: 361: 358: 354: 348: 345: 340: 337: 334: 331: 326: 322: 301: 280: 274: 267: 256: 253: 247: = 2 228:Pascal Massart 226:In 1990, 217: 216: 205: 202: 199: 186: 182: 178: 175: 172: 168: 164: 161: 156: 151: 148: 144: 140: 137: 134: 131: 128: 125: 122: 119: 114: 110: 105: 98: 94: 91: 87: 81: 76: 42:DKW inequality 15: 13: 10: 9: 6: 4: 3: 2: 2440: 2429: 2426: 2424: 2421: 2419: 2416: 2415: 2413: 2400: 2396: 2392: 2388: 2384: 2380: 2376: 2369: 2366: 2362: 2360:0-471-86725-X 2356: 2352: 2348: 2347:Wellner, J.A. 2344: 2343:Shorack, G.R. 2338: 2335: 2331: 2329:9780387749778 2325: 2321: 2314: 2311: 2306: 2302: 2297: 2292: 2288: 2284: 2280: 2273: 2271: 2269: 2265: 2260: 2256: 2252: 2248: 2243: 2238: 2234: 2230: 2226: 2219: 2216: 2212: 2208: 2203: 2198: 2194: 2190: 2189: 2184: 2177: 2174: 2170: 2166: 2161: 2156: 2152: 2148: 2147: 2142: 2138: 2137:Wolfowitz, J. 2134: 2130: 2129:Dvoretzky, A. 2124: 2121: 2114: 2109: 2106: 2105: 2101: 2099: 2097: 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1006: 1005: 1004: 1002: 992: 985: 981: 974: 970: 963: 956: 952: 948: 944: 940: 936: 917: 914: 911: 898: 894: 890: 887: 884: 880: 876: 873: 863: 860: 849: 843: 840: 834: 826: 822: 806: 803: 781: 780: 779: 762: 757: 754: 751: 744: 741: 737: 729: 726: 713: 709: 705: 702: 699: 695: 691: 681: 678: 665: 659: 656: 650: 642: 638: 620: 617: 595: 594: 593: 591: 587: 584:differs from 583: 577: 572: 558: 550: 531: 523: 519: 498: 478: 470: 466: 447: 441: 418: 410: 407: 403: 395: 392: 387: 383: 367: 362: 359: 356: 352: 346: 343: 338: 332: 324: 320: 312: 311: 310: 308: 304: 297: 294: 290: 287: 283: 273: 266: 262: 254: 252: 250: 246: 242: 237: 233: 229: 224: 222: 203: 200: 197: 184: 180: 176: 173: 170: 166: 162: 159: 149: 146: 135: 129: 126: 120: 112: 108: 92: 89: 67: 66: 65: 63: 59: 55: 51: 47: 43: 39: 35: 31: 21: 2378: 2374: 2368: 2350: 2337: 2319: 2313: 2286: 2282: 2232: 2228: 2218: 2192: 2186: 2176: 2150: 2144: 2123: 2095: 2091: 2087: 2083: 2081: 1989: 1799: 1783: 1670: 1473: 1463: 1459: 1455: 1451: 1447: 1445: 1278: 1274: 1267: 1260: 1253: 1251: 1241: 1239: 997: 990: 983: 976: 972: 965: 958: 950: 942: 932: 777: 589: 585: 578: 573: 548: 468: 464: 433: 299: 295: 278: 271: 264: 260: 258: 248: 244: 240: 231: 225: 220: 218: 41: 37: 27: 2385:: 735–763, 2235:: 558–562. 1671:for every 465:probability 309:defined by 58:Jack Kiefer 30:probability 2412:Categories 2259:0087.34002 2133:Kiefer, J. 2115:References 1778:See also: 1446:for every 298:(·). Let 34:statistics 2353:, Wiley, 2305:233844405 2053:α 2040:⁡ 2010:α 1961:α 1953:⁡ 1940:ε 1931:ε 1906:≤ 1891:≤ 1888:ε 1885:− 1843:α 1840:− 1711:∞ 1679:ε 1654:ε 1639:ε 1632:− 1621:≤ 1611:ε 1585:− 1545:− 1526:∞ 1514:∈ 1423:ε 1413:− 1387:≤ 1377:ε 1354:− 1313:∈ 1214:− 1182:≤ 1176:≤ 1165:≤ 1145:− 1102:∈ 1056:− 1022:∈ 912:ε 895:ε 885:− 874:≤ 864:ε 841:− 807:∈ 755:⁡ 730:≥ 727:ε 710:ε 700:− 692:≤ 682:ε 657:− 621:∈ 411:∈ 393:≤ 353:∑ 198:ε 181:ε 171:− 160:≤ 150:ε 127:− 93:∈ 2383:Elsevier 2349:(1986), 2139:(1956), 2102:See also 1723:, where 975:) where 957:on as 549:fraction 236:Birnbaum 2387:Bibcode 2289:: 1–8. 2251:0093874 2211:1062069 2169:0083864 547:is the 467:that a 463:is the 24:bounds. 2357:  2326:  2303:  2257:  2249:  2209:  2167:  511:, and 469:single 263:, let 60:, and 36:, the 2381:(6), 2301:S2CID 2086:with 1266:, …, 996:, …, 291:with 277:, …, 2355:ISBN 2324:ISBN 1708:< 1682:> 1608:> 1374:> 915:> 861:> 679:> 201:> 147:> 32:and 2395:doi 2291:doi 2287:173 2255:Zbl 2237:doi 2197:doi 2155:doi 1624:2.5 1507:sup 1306:sup 1169:sup 1095:sup 1015:sup 941:as 800:sup 614:sup 434:so 251:. 86:sup 2414:: 2393:, 2379:35 2377:, 2345:; 2299:. 2285:. 2281:. 2267:^ 2253:. 2247:MR 2245:. 2233:29 2231:. 2227:. 2207:MR 2205:, 2193:18 2191:, 2185:, 2165:MR 2163:, 2151:27 2149:, 2143:, 2135:; 2131:; 2037:ln 1950:ln 1489:Pr 1466:. 1454:, 1450:, 1295:Pr 1259:, 989:, 918:0. 789:Pr 752:ln 603:Pr 571:. 270:, 204:0. 75:Pr 56:, 2397:: 2389:: 2307:. 2293:: 2261:. 2239:: 2199:: 2157:: 2096:n 2092:n 2090:( 2088:k 2084:k 2063:n 2060:2 2049:k 2046:2 2030:= 2024:n 2019:) 2016:k 2013:, 2007:( 2004:d 1971:n 1968:2 1958:2 1943:= 1928:+ 1925:) 1922:x 1919:( 1914:n 1910:F 1903:) 1900:x 1897:( 1894:F 1882:) 1879:x 1876:( 1871:n 1867:F 1837:1 1817:) 1814:x 1811:( 1808:F 1758:G 1736:n 1732:F 1705:C 1685:0 1651:C 1648:+ 1643:2 1635:2 1628:e 1616:) 1604:| 1600:) 1597:) 1594:t 1591:( 1588:F 1582:) 1579:t 1576:( 1571:n 1567:F 1563:( 1560:) 1557:) 1554:t 1551:( 1548:G 1542:1 1539:( 1535:| 1529:) 1523:, 1520:0 1517:[ 1511:t 1501:n 1494:( 1464:n 1460:n 1456:k 1452:n 1448:ε 1427:2 1419:n 1416:2 1409:e 1405:k 1402:) 1399:1 1396:+ 1393:n 1390:( 1382:) 1370:| 1366:) 1363:t 1360:( 1357:F 1351:) 1348:t 1345:( 1340:n 1336:F 1331:| 1323:k 1318:R 1310:t 1300:( 1281:n 1279:F 1275:k 1270:n 1268:X 1264:2 1261:X 1257:1 1254:X 1242:F 1225:, 1221:| 1217:t 1211:) 1208:t 1205:( 1200:n 1196:G 1191:| 1185:1 1179:t 1173:0 1161:| 1157:) 1154:x 1151:( 1148:F 1142:) 1139:) 1136:x 1133:( 1130:F 1127:( 1122:n 1118:G 1113:| 1106:R 1099:x 1086:d 1081:= 1072:| 1068:) 1065:x 1062:( 1059:F 1053:) 1050:x 1047:( 1042:n 1038:F 1033:| 1026:R 1019:x 1000:n 998:U 994:2 991:U 987:1 984:U 979:n 977:G 973:F 971:( 968:n 966:G 961:n 959:F 951:F 943:n 899:2 891:n 888:2 881:e 877:2 869:) 857:| 853:) 850:x 847:( 844:F 838:) 835:x 832:( 827:n 823:F 818:| 811:R 804:x 794:( 763:, 758:2 745:n 742:2 738:1 714:2 706:n 703:2 696:e 687:) 674:) 669:) 666:x 663:( 660:F 654:) 651:x 648:( 643:n 639:F 633:( 625:R 618:x 608:( 590:ε 586:F 581:n 579:F 559:x 535:) 532:x 529:( 524:n 520:F 499:x 479:X 451:) 448:x 445:( 442:F 419:. 415:R 408:x 404:, 399:} 396:x 388:i 384:X 380:{ 375:1 368:n 363:1 360:= 357:i 347:n 344:1 339:= 336:) 333:x 330:( 325:n 321:F 302:n 300:F 296:F 281:n 279:X 275:2 272:X 268:1 265:X 261:n 249:k 245:C 241:k 232:C 221:C 185:2 177:n 174:2 167:e 163:C 155:) 143:| 139:) 136:x 133:( 130:F 124:) 121:x 118:( 113:n 109:F 104:| 97:R 90:x 80:( 40:(

Index


probability
statistics
empirically determined distribution function
distribution function
Aryeh Dvoretzky
Jack Kiefer
Jacob Wolfowitz
Pascal Massart
Birnbaum
independent and identically distributed
random variables
cumulative distribution function
empirical distribution function
random function
Glivenko–Cantelli theorem
rate of convergence
Kolmogorov–Smirnov statistic
uniform distribution
Kaplan–Meier estimator
CDF-based nonparametric confidence interval
confidence band
Kolmogorov–Smirnov confidence band
alternative approaches
Concentration inequality
Dvoretzky, A.
Kiefer, J.
Wolfowitz, J.
"Asymptotic minimax character of the sample distribution function and of the classical multinomial estimator"
Annals of Mathematical Statistics

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