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Marcinkiewicz-Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators

Both Marcinkiewicz-Zygmund strong laws of large numbers (MZ-SLLNs) and ordinary strong laws of large numbers (SLLNs) for plug-in estimators of general statistical functionals are derived. It is used that if a statistical functional is "sufficiently regular", then a (MZ-) SLLN for the estimator of the unknown distribution function yields a (MZ-) SLLN for the corresponding plug-in estimator. It is in particular shown that many L-, V- and risk functionals are "sufficiently regular", and that known results on the strong convergence of the empirical process of α-mixing random variables can be improved. The presented approach does not only cover some known results but also provides some new strong laws for plug-in estimators of particular statistical functionals.

preprint2013arXivOpen access

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