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Poisson limits for empirical point processes

Define the scaled empirical point process on an independent and identically distributed sequence $\{Y_i: i\le n\}$ as the random point measure with masses at $a_n^{-1} Y_i$. For suitable $a_n$ we obtain the weak limit of these point processes through a novel use of a dimension-free method based on the convergence of compensators of multiparameter martingales. The method extends previous results in several directions. We obtain limits at points where the density of $Y_i$ may be zero, but has regular variation. The joint limit of the empirical process evaluated at distinct points is given by independent Poisson processes. These results also hold for multivariate $Y_i$ with little additional effort. Applications are provided both to nearest-neighbour density estimation in high dimensions, and to the asymptotic behaviour of multivariate extremes such as those arising from bivariate normal copulas.