We consider empirical processes based on independent observations. We prove that the weak convergence of weighted empirical processes of i.i.d. random variables for the optimal class of weight function as proven in Csörgő, Csörgő, Horváth and Mason (Ann. Probabl. 14, 1986, 31-85) continueds to hold under contiguous measures for the same class of weight functions.

Additional Metadata
Keywords Brownian bridge, contiguity, Empirical process, weak convergence, weight functions
Persistent URL dx.doi.org/10.1016/0167-7152(94)90149-X
Journal Statistics and Probability Letters
Citation
Szyszkowicz, B. (1994). The Chibisov-O'Reilly theorem for empirical processes under contiguous measures. Statistics and Probability Letters, 19(2), 153–159. doi:10.1016/0167-7152(94)90149-X