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Bruno Remillard - Empirical processes based on pseudo-observations

BRUNO REMILLARD, Université du Québec à Trois-Rivières
Empirical processes based on pseudo-observations

Pseudo-observations can be described as estimations or predictions of non observable random variables. In practice, they are used to estimate the distribution function of the non observable random variable. For example, regression residuals are pseudo-observations.

In this talk, I will give some conditions in order that the empirical process based on pseudo-observations converges in law to a continuous stochastic process. Many examples will illustrate the results.