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\leftheadtext\nofrills{{\rightline{\eightrm P\'eter Major}}}
\rightheadtext\nofrills{\leftline{\eightrm Approximation of the
uniform empirical process}}
\topmatter
\title A note on  the approximation of the  uniform empirical
process \endtitle
\author P\'eter Major \endauthor
 
\endtopmatter
 
\centerline{Mathematical Institute of the Hungarian Academy
of Sciences}
\bigskip
{\narrower{\narrower\flushpar {\it  Summary:}{ \eightrm D.
Mason and W. van Zwet (1987)
gave an approximation of  the uniform empirical process  by a
Brownian  bridge  which  is  a  refinement  of  a  result  of
Koml\'os--Major--Tusn\'ady  (1975).    Their  result   is  an
improvement  only  if  the  process  is considered in a small
interval.  In  this note  we show  that in  such cases a much
better Poissonian approximation  is possible which seems to
be better applicable in certain cases. We  also prove a
multidimensional version of this  result, where a sequence
of uniform empirical processes is simultaneously approximated by
partial  sums  of  independent  Poisson  processes.
}\par}\par}
 
 
 
\bigskip
 
\subheading{1. Introduction}
Let $\varepsilon_1$,
$\varepsilon_2,\dots\,$, be a  sequence of independent,  on
the
interval $[0,1]$ uniformly distributed random variables,  and
define   the   empirical   distribution   function  $F_n(t)$,
$n=1,2,\dots\,$,  as
$F_n(t)=\frac1n\#\{\varepsilon_j,\;j\leq
n,\;\varepsilon_j\leq t\}$, $0\leq t\leq1$.  In this paper we
investigate   the   (uniform)   empirical   process    $\sqrt
n(F_n(t)-t)$.  Mason and Zwet (1987) proved the following
 
\proclaim{Theorem  A}\it For all  $n\geq 1$  a
Brownian bridge
$B_n(t)$, $0\leq t\leq 1$, and a sequence of independent  and
on  the   interval  $[0,1]$   uniformly  distributed   random
variables  $\varepsilon_1$,   $\varepsilon_2,\dots$  can   be
constructed in  such a  way that  the empirical  distribution
function  $F_n(t)$  defined  with  the  help  of  the   above
$\varepsilon$-s satisfies the relation
$$\bold P\left(\sup_{0\leq
s\leq   \frac   dn}|n(F_n   (s)-s)-\sqrt   nB_n(s)|>    C\log
d+x\right)<Ke^{-\lambda  x}  \tag  1.1  $$
  with some universal
positive constants $C$, \ $K$ and $\lambda$ for all $0\leq
x< \infty$, \ $1\leq d\leq n$.\endproclaim
 
This is a refinement of a former result of Koml\'os, Major and
Tusn\'ady (KMT) (1975), where the same estimate is proved  in
the special case $d=n$.  Theorem A is a real improvement only
for $d<n^{\varepsilon}$, where $\varepsilon>0$ can be  chosen
arbitrarily  small.   For  such  numbers  $  d$ the empirical
distribution function can be much better approximated in  the
interval $[0,d/n ]$ by  a Poisson process. In Theorem 1
formulated below we present such an approximation.
 
 
 
Let $P_n(t)$, \ $0\leq t\leq
1$, denote  a Poisson  process with  parameter $n$,  i.e. let
$P_n(t)$ be a process with independent stationary increments,
$P_n(0)=0$, and  let $P_n(v)-P_n(u)$, \ $0\leq u<v\leq  1$,
be Poisson distributed with parameter $n(u-v)$.
 
\proclaim{Theorem  1} \it  For all  $n\geq 1$  a Poisson
process
$P_n(t)$ with  parameter $n$  on the  interval $[0,1]$  and
a
sequence of  independent, on  the interval  $[0,1]$
uniformly
distributed   random    variables   $\varepsilon_1,\dots    ,
\varepsilon_n$ can  be constructed  simultaneously in  such a
way that the empirical distribution function defined with the
help of these $\varepsilon$@-s satisfies the relation
 $$
\bold
P\left(\sup_{0\leq s<n^{-2/3
}}|n(F_n(s)-s)-(P_n(s)-ns)|>C\right)<K\exp
\left(- \tfrac18 \sqrt n\log  n\right)
$$
 with some universal  constants
$C>0$ and $K>0$.\endproclaim
 
We shall also prove the following variant of Theorem 1.
\proclaim{Theorem  $1'$} \it Let $t_n\to 0$ be such that
also $\sqrt n t_n \to 0$. For all $n\geq 1$ a Poisson
process
$P_n(t)$ with  parameter $n$  on the  interval $[0,1]$  and
a
sequence of  independent, on  the interval  $[0,1]$
uniformly
distributed   random    variables   $\varepsilon_1,\dots    ,
\varepsilon_n$ can  be constructed  simultaneously in  such a
way that the empirical distribution function defined with the
help of these $\varepsilon$@-s satisfies the relation
 $$
\bold
P\left(\sup_{0\leq s<t_n}
|n(F_n(s)-s)-(P_n(s)-ns)|=0\right)\to 1\,.
$$
\endproclaim
 
In Theorems 1 and $1'$ we have approximated the empirical
process  by a Poisson process in a small neighbourhood of
zero. This approximation can be combined by a Brownian bridge
approximation of the empirical process in the remaining
domain with the help of Theorem 3 in the KMT (1975) paper. We
formulate this result in the case of Theorem $1'$ in the
following
\proclaim {Proposition}\it Beside the processes $P_n(t)$ and
$F_n(t)$ in Theorem $1'$ a process  $B_n(s)$, \ $t_n\le
s\le1$, can be constructed which is the restriction of a
Brownian bridge to the interval $[t_n,1]$ in such a way
that
$$
\bold P\left(\sup_{t_n\le s\le1}\left|
\sqrt n B_n(s)-n\bigl
(F_n(s)-s\bigr)\right|>C\log n+x\right)<Ke^{-\lambda x}\;,
\tag1.2
$$
where $C>0$, \ $K>0$ and $\lambda>0$ are appropriate
constants, and the processes $B_n(s)$, \ $t_n\le s\le1$
and $P_n(t)$, $0\le t\le t_n$ are conditionally independent
with respect to the events $nF_n(t_n)=k$ for all $k=0$, 1,
$\dots$.
\endproclaim
 
Theorems 1 and $1'$ can be useful if we want to
investigate the limit distribution of a sequence of random
variables which is obtained when a sequence of functionals
$\Cal F_n$ are applied to the empirical processes, i.e.
when the functional may also depend on $n$. Such a problem
is investigated e.g. in the paper of M. Cs\"org\H o {\it et
al.}\/ (1986).
 If the functional $\Cal F_n$
depends only on the values of the empirical process in the
interval
$[0,t_n]$ then by Theorem $1'$ the uniform empirical process
can be replaced by a standardized Poisson process, and the
limit distribution of our sequences will be the same after
this replacement. A Gaussian approximation is not always
allowed, because
the  Gaussian approximation of the empirical process is not
so good as the Poissonian one. If the functional $\Cal F_n$
depends on the values of the empirical process on the whole
interval $[0,1]$, but this dependence is much stronger on the
interval $[0,t_n]$ then Theorem $1'$ can be applied together
with the Proposition. Theorem 1 can be useful if we want to
get a better information about the error committed by the
Poissonian approximation.
 
Another problem where the Gaussian approximation is not
always applicable, and a Poissonian approximation may be
useful  is the
investigation  of the law of iterated logarithm for
the empirical process in  small  intervals.
This problem is studied in Kiefer's (1972)  paper.
If one tries to study this problem in the usual way then
one has to apply the Borel--Cantelli lemma several times, and
the main technical problem is to check  whether certain sums
of probabilities are convergent or divergent. If one
substitutes these probabilities by those suggested by the
Gaussian  approximation one gets in certain cases wrong
result, because the error committed by this substitution is
too large.  On the other hand Theorem 1 would allow us to
make a Poissonian approximation also in such cases.
Nevertheless
 it is more appropriate to have  a result which
automatically guarantees that the empirical process can be
replaced by a Poisson process in such problems. This is done
by Theorem 2 formulated below, or more precisely by its Part~
b).
\proclaim {Theorem  2}\it   Part a)  For all  $n=1,2,\dots
$, and
$1/2\geq   \alpha   \geq   0$   a   sequence $\varepsilon_1$,
$\varepsilon_2,\dots,\varepsilon_n$ of independent and on the
interval $[0,1]$ uniformly  distributed random variables
can
be   constructed   together   with   a   sequence   $P_1(t)$,
$P_2(t),\dots$, $P_n(t)$, of independent Poisson processes
with
parameter $1$  on the  interval $[0,1]$  in such  a way
that
$$
\bold  P\left(\sup_{k\leq  n}\;\sup_{0\leq  t<n^{-(1/2
+\alpha)}}
\left|k(F_k(t)-t)-\sum_{j=1}^k
(P_j(t)-t)\right|>m\right)\leq C(m)n^{-2(m+1)\alpha  }  \tag
1.3
 $$
 for all $m=0,1,2,...$,
where the constants $C(m)$ depends only on $m$.
 
Part   b)   For   any   $\delta>0$   an   infinite   sequence
$\varepsilon_1$, $\varepsilon_2,\dots$ of independent  random
variables with uniform  distribution on the  interval
$[0,1]$
and  an  infinite  sequence  of independent Poisson processes
$P_1(t)$, $P_2(t),\dots$ with parameter $1 $ on the  interval
$[0,1]$ can be constructed in such a way that
$$
\bold P\biggl(\sup_{n} \sup_{0<t<n^{-1/2       -\delta}}
\biggl|n(F_n(t) -t)-\sum_{j=1}^n (P_j(t)-t) \biggr|<\infty
\biggr)=1\;. \tag 1.4 $$
\endproclaim
Part  b)  of  Theorem  2  implies  in  particular  that   the
restrictions  of  the  empirical  processes  to the intervals
$[0,t_n]$, \ $t_n\to  0$,  satisfy  the  same laws of
iterated
logarithm as  the averages  $\frac1n    \sum_{i=1}^n  P_i(t)$
of
independent  Poisson   processes  restricted   to  the   same
intervals $[0,t_n]$, if $ n^{1/2      +\delta}t_n\to 0$
with
some $\delta>0 $.  Hence the problems investigated by  Kiefer
can be reformulated to equivalent problems about the sums  of
independent     Poisson     processes.      The     condition
$t_n<n^{-1/2     -\delta}$ could be slightly weakened, but it
is  not  essential,  since  it  is  satisfied  in  the   most
interesting     and     important     case,     namely   when
$t_n=\frac{L(n)}{n}$, and $L(n)$ is bounded, or slowly  tends
to infinity.
 
 
\medpagebreak
 
\subheading{2. The  proof  of  Theorem 1, Theorem   $1'$ and
the Proposition}
 Let
$F(x)=F_{\lambda}(x)$ denote  the (right  continuous) Poisson
distribution   function   with   parameter   $\lambda$,   and
$G(x)=G_{n,p}(x)$    the    (right    continuous)    binomial
distribution  function  with  parameters  $n$  and  $p$.  The
following Lemma  1 plays  an important  role in  the proof of
Theorem 1.  In Lemma  1 two random variables  are constructed
with distributions $F$ and $G$ which are close to each  other
if the parameters $\lambda  $, \ $n$ and $p$  are
appropriately
chosen.  We apply the  quantile transformation, i.e. we  make
the  following  construction.   Let  $\gamma$  be a uniformly
distributed random variable on $[0,1]$, and put
$$
\xi=k\qquad
\text{if
 \  $F(k)\leq  \gamma  <F(k+1)$, $k=0,1,\dots$} \tag
2.1
$$
$$
\eta=k\qquad\text{if \ $G(k)\leq \gamma <G(k+1)$,
$k=0,1,\dots$}
. \tag 2.1$^{\prime}$
$$
Clearly  $\xi$   has  a   distribution  $F$,   and  $\eta$  a
distribution $G$.  We prove the following
 
 
\proclaim{Lemma 1}\it  Choose $\lambda=np$ and $p
=n^{-2/3}$ for the
parameters of the distribution functions $F$ and $G$.   There
is a constant $C>0$ and a threshold $n_0$ in such a way  that
for $n>n_0$ the random variables $\xi$ and $\eta$ defined  by
(2.1) and (2.1$^{\prime}$) satisfy the relation
$$|\xi -\eta |<C
\text{ \ if}\qquad \xi \leq \sqrt n.
$$
\endproclaim
 
\demo{ Proof of Lemma 1} It  is enough to show that under
the
conditions  of  Lemma  1  there  is  some  $C>0$  such   that
$$
G(x-C)\leq F(x)\leq G(x+C)\text{ \ if}\quad x\leq \sqrt  n.
\tag 2.2
$$
 
 
Let $  f(k)$ and  $g(k)$, $k=0,1,2,\dots$  denote the density
functions of $F$ and $G$.  We shall prove (2.2) with the help
of the following relations: There are some integers $C>0$ and
$n>n_0$ such that if $n>n_0$ then
$$
1-G(\sqrt n -C)>1-F(\sqrt n)>  1-G(\sqrt n +C) \tag  2.3
$$
$$
g(k-C)>f(k)>g(k+C)\qquad \text{if}\quad  np+C<k<\sqrt n  \tag
2.3$^{\prime}$
$$
$$
g(k-C)<f(k)<g(k+C) \qquad\text {if} \quad 0\leq  k<np-C
. \tag 2.3$^{\prime\prime} $
$$
(We  define  $g(k)=0$  for  $k<0$  in  (2.3$^{\prime\prime}$).)    Relations
Relations (2.3)--(2.3$^{\prime\prime}$)  imply  (2.2)  (with
constant  $2C$ instead   of
$C$).   Indeed,   by  summing   up  (2.3)   and
(2.3$^{\prime}$)   for
$j=k$ ,k+1, $\dots    $, $\sqrt  n-1$    we     get    that
$1-G(k-C)>1-F(k)>1-G(k+C)$  for  $np+C<k<\sqrt  n$, and
relation (2.3$^{\prime\prime}$) similarly implies that
$G(k-C)<F(k)<G(k+C)$  for $0\leq k\leq np-C$.  Finally,  for
$|k-np|\leq  C$  these  relations  imply  that   $G(k-2C)<
F(k-C)<F(k)<F(k+C)<G(k+2C)$.
 
To  prove (2.3) and (2.3$^{\prime}$)  we estimate the ratios
$\frac{g(k)}{f(k)}$ and $\frac{f(k+1)}{f(k)}$. Since $\lambda =np$,
$$
\align\frac
{g(k)}{f(k)}&=\frac{n(n-1)\cdots(n-k+1)}{n^k(1-p)^k}(1-p)^n
e^{np}\\
&=\exp        \biggr\{n(p+\log         (1-p))-k\log
(1-p)+\sum_{j=0}^{k-1}\log \left(1-\tfrac jn\right)\biggl\},
\endalign
$$
and
$$
\frac  {g(k)}{f(k)}=\exp
\left\{O\biggl(np^2+kp+\frac{k^2}{n}\biggr)\right\}\quad\text
{for }  k\leq  \sqrt  n.   \tag 2.4
$$
Since  $p=n^{-2/3}$  the
last relation implies that
$$
\alpha^{-1}<\frac{g(k)}{f(k)}<\alpha
\quad\text{for  $k<\sqrt  n$}   \tag2.5
$$
with some
$1<\alpha<\infty$,
and
$$
\biggl|\frac{g(k)}{f(k)}-1\biggr|<\alpha n^{-1/3}\qquad
\text{if } |k-np|<\frac {np}2.\tag2.5$^{\prime}$
$$
Since
$$
\frac{f(k+1)}{f(k)}=\frac
{\lambda}{k+1}\;,\tag        2.6
$$
the relations$\frac{f(k+j)}{f(k)}>(3/2)^j$ and $\frac
{f(k-j)}{f(k)}<(4/5)^j$ hold if $k>\frac32np$ and $0<j<np/4$.
These  inequalities  together  with  (2.4)  imply
(2.3$^{\prime}$) for
$\frac32np<k<\sqrt n$ with a sufficiently large $C$ which  is
independent of  $n$.  Relation  (2.3$^{\prime\prime}$) for
$k<np/2$ can  be
proved similarly.  Since  $\lambda =n^{1/3}$, relation
(2.6)
also implies that
$\frac{f(k-j)}{f(k)}<(1-\frac12n^{-1/3})^j<\allowmathbreak
1-\frac j4n^{-1/3}$
and   $\frac{f(k+j)}{f(k)}>(1+n^{-1/3})^j>1+jn^{-1/3}$    if
$k>np+C$   and   $j<C$   with   a   sufficiently  large $C>0$
independent of $n$.  This relation together with
(2.5$^{\prime}$) imply
(2.3$^{\prime}$)  for  $np+C<k<\frac32np$.   A  similar
estimation  of
$\frac{f(k\pm j)}{f(k)}$ for  $k<np-C$ yields
(2.3$^{\prime\prime}$)  in the
remaining domain $np/2<k<np-C$.  To prove (2.3) it is  enough
to     check     that     $\frac     {f(k)}{1-F(k)}$      and
$\frac{g(k)}{1-G(k)}$  are  bounded   away  from  zero   (and
naturally also from infinity) for $k>\sqrt n -C$, and then
the
estimates    given    on    $\frac{f(k\pm    j)}{f(k)}$   and
$\frac{g(k)}{f(k)}$ imply the  required inequality.  Lemma  1
is proved.\enddemo
 
 
\demo{Proof of Theorem 1}  Let us construct a pair  of
random
variables  $(\xi,\eta)$  with   distributions  $F$  and   $G$
satisfying      Lemma      1.       Let      $\varepsilon'_1,
\varepsilon'_2,\dots$ be a sequence of independent  uniformly
distributed    random     variables    on
$[0,n^{-2/3}]$,
$\varepsilon^{\prime\prime}_1,\varepsilon^{\prime\prime}_2,\dots$    a    sequence   of
independent   uniformly   distributed   random   variables on
$[n^{-2/3},1]$  such  that  the  pair  $(\xi,\eta)$  and
the
sequences
$\varepsilon'_1,\varepsilon'_2,\dots\,$, \
$\varepsilon^{\prime\prime}_1,\varepsilon^{\prime\prime}_2,\dots $  are independent  of
each      other.       Put       $nF_n(s)=\#\{\varepsilon'_j,
\;\varepsilon'_j<s,\;j<\eta\}$,
$P_n(s)=\#\{\varepsilon'_j,\;
\varepsilon'_j<s,\;j<\xi\}$   for   $s<n^{-2/3}$,   and
define                               $n(F_n(s)-F_n(n^{-2/3}))
=\#\{\varepsilon^{\prime\prime}_j,
\;\varepsilon^{\prime\prime}_j<s, \; j\le n-\eta\}$ if
$n^{-2/3}<s<n-\eta$,  and   $P_n(s)-P_n(n^{-2/3})$  as
a Poisson process with  parameter $n  $ on  the interval
$[n^{-2/3},1]$
independent   of   the   above   defined   process  $P_n(s)$,
$0<s<n^{-2/3}$.   Then  $F_n(s)$  can  be  considered  as  an
empirical distribution function (corresponding to the sample
obtained from the  random permutations of
$\varepsilon'_1,\dots,\varepsilon'_{\eta},\varepsilon^{\prime\prime}_1,\dots,
\varepsilon^{\prime\prime}_{n-\eta})$,   since   it   has   the
prescribed conditional  distribution   under  the   condition  $\eta=k$.
Similarly, $ P_n(s)$, $0<s\leq 1$, is a Poisson process  with
parameter  $n$.   On  the  other  hand
$|nF_n(s)-P_n(s)|\le |\xi
-\eta|$  for  $0<s<n^{-2/3}$.   Hence  by  Lemma  1
$$
\bold
P\left(\sup_{0<s<n^{-2/3}}|n(F_n(s)-s)-(P_n(s)-ns)|>C\right)<\bold
P(|\xi-\eta|>C)<\bold  P(\xi>\sqrt  n)\;.
$$
Since
$$
\align
\bold  P(\xi>\sqrt  n)&\leq  const.\bold  P(\xi=\sqrt n)\\
&=
const.\exp  \left \{-n^{1/3}+\tfrac13\sqrt   n\log
n-\log(\sqrt n!)\right\}\leq  Kexp  \left\{-\tfrac18\sqrt
n\log n\right\}
\endalign
$$
the
above estimates imply Theorem 1. \enddemo
 
\demo{Proof of Theorem $1'$} We may assume without
violating the generality that $nt_n\to \infty$. The proof of
Theorem $1'$ is very similar to that of Theorem 1. The main
difference is that now we need for each $n$, instead of the
construction of Lemma 1, a pair of random variables
$(\xi_n,\eta_n)$  with distributions $F_{\lambda}(x)$ and
$G_{n,p}(x)$, \ $\lambda=np_n$ and $p=p_n$ such that
$$
\bold P(\xi_n=\eta_n)\to 1\qquad \text{as }n\to\infty\,.\tag
2.7
$$
Then we can apply the same costruction as in the proof of
Theorem 1, only now we have to work with the above
pair $(\xi_n,\eta_n)$, and the intervals $[0,n^{-2/3}]$
and $[n^{-2/3},1]$ must be replaced by the intervals
$[0,t_n]$ and $[t_n,1]$. So it remains to prove relation~
(2.7).
 
We claim that
$$
\sum_{k=0}^{\infty}|\bold P(\xi_n=k)-\bold P(\eta_n=k)|\to 0
\tag2.8
$$
First we show that relation (2.7)  can be satisfied
with an appropriate construction because of (2.8). Indeed,
define the pair $(\xi_n,\eta_n)$ by the following formulas:
$$
\bold P(\xi_n=\eta_n=k)=\min\{\bold P(\xi_n=k), \bold
P(\eta_n=k)\}
$$
and
$$
\align
&\bold P(\xi_n=k,\eta_n=j)\\
&\qquad =B_n^{-1}\bigl(\bold
P(\xi_n=k)- \min\{\bold P(\xi_n=k), \bold
P(\eta_n=k)\}\bigr) \bigl(\bold P(\eta_n=j)\\
&\qquad\qquad\qquad -\min\{\bold P(\xi_n=j),\bold  P(\eta_n=j)\}\bigr)
\quad\text{if }j\ne k\;,
\endalign
$$
where $B_n=1-\sum_{k=0}^{\infty} \min\{\bold P(\xi_n=k),
\bold
P(\eta_n=k)\}$. (If $B_n=0$ then we have $\frac 00$ in the
last formula which we define as 0.) Then the random variables
$\xi_n$ and $\eta_n$
have the prescribed distribution, since
$$
\bold P (\xi_n=k,\eta_n\ne k)=\bold P( \xi_n=k)-\min\{\bold
P(\xi_n=k),\bold P(\eta_n=k)\}\;,
$$
and a similar relation holds also for $\eta_n$.
It follows from (2.8)
that $B_n\to 0$, hence (2.7) also holds.
 
To prove (2.8) observe first that similarly to (2.4) we have
$$
\frac{\bold P(\xi_n=k)}{\bold P(\eta_n=k)}=
\exp \left\{O\left(np_n^2+kp_n+\frac{k^2}n\right)\right\}=
\exp \{O(np_n^2)\} \qquad \text{if }k<2np_n \;.  \tag2.9
$$
Hence
$$
\sum_{k=0}^{2np_n}|\bold P(\xi_n=k)-\bold P(\eta_n=k)|\le
\left\{ \exp\{O(np_n^2)\}-1\right\}\sum\bold
P(\eta_n=k)=O(np_n^2)\;.
$$
On the other hand
$$
\sum_{k=2np_n}^{\infty} \left|\bold P(\xi_n=k)-\bold
P(\eta_n=k)\right|\le \bold P(\xi_n\ge 2np_n)+\bold
P(\eta_n\ge 2np_n)\to 0 \qquad\text{as }n\to\infty\;.
$$
These relations imply (2.8). Theorem $1'$ is proved.
\enddemo
 
\demo {Proof of the Proposition}
The conditional distribution of the process
$n[(F_n(s)-s)-\allowmathbreak(F_n(t_n)-t_n)]$, \ $t_n\le s\le
1$ under the
condition $nF_n(t_n)=k$  agrees with the distribution of an
empirical distribution function  multiplied by $n-k$ from a
sample
of $n-k$ elements with uniform distribution on the interval
$[t_n,1]$. Hence we can construct, with the help of Theorem
3 of KMT (1975), a Brownian bridge $\bar B_n(u)$, $0\le
u\le1$, on the conditional probability space $\bold
P(\cdot\,|nF_n(t_n)=k)$ such that
$$
\aligned
\bold P\biggl(\sup_{t_n\leq
s\leq1}\biggl|n [( F_n(s)-&F_n(t_n))-(s-t_n)]-\sqrt
{n-k}\bar
B_n\left(\frac{s-t_n}{1-t_n}\right)\biggr|\\
&\qquad>C\log n+x\biggr|\,nF_n(t_n)=k\biggr)\leq
Ke^{-\lambda x}\;.
\endaligned\tag2.10
$$
Since the distribution of $\bar B_n(\cdot)$ does not depend
on $k$ it is a Brownian bridge also with respect to the
original unconditional probability.
 
By Lemma 2 of KMT  (1975) a standard Gaussian random variable
$\xi_n$ can be constructed with the help of the quantile
transformation in such a way that
$$
\bold P\left(\left|\sqrt{nt_n(1-t_n)}
\xi_n-n(F_n(t_n)-t_n)\right|>C\right)\le Ke^{-\lambda
x}\;.\tag 2.11
$$
Since $F_n(t_n)$ is independent of $\bar B_n(\cdot)$ the
random variable $\xi_n$, which is obtained as a
transformation
of the random variable $F_n(t_n)-t_n$ with some
randomization, is also independent of it.
Define
$$
B_n(s)=
\sqrt{1-t_n}\bar
B_n\left(\frac{s-t_n}{1-t_n}\right)+\frac{1-s}{1-t_n}
\sqrt{t_n(1-t_n)}\xi_n, \qquad t_n\le s\le 1.
$$
We claim that the above defined process $B_n(s)$ satisfies
the Proposition.  It is a Gaussian process, and simple
calculation shows (by using the independence of $\bar
B_n(\cdot)$ and $\xi$) that it has the  covariance function
$s(1-s')$ for $t_n\le s\le s'\le1$. The processes
$B_n(\cdot)$ and $P_n(\cdot)$ are conditionally independent
with respect to the condition $F_n(t_n)=k$. We have to prove
relation~(1.2).
 
Remark first that (2.10) also implies that
$$
\aligned
& \bold P\biggl(\sup_{t_n\leq
s\leq1}\left|n [( F_n(s)-F_n(t_n))-(s-t_n)]-\sqrt
{n(1-F_n(t_n))}\bar
B_n\left(\frac{s-t_n}{1-t_n}\right)\right|\\
&\qquad\qquad\qquad\qquad\qquad\qquad >C\log
n+x\biggr) \leq Ke^{-\lambda x}\;.
\endaligned \tag2.12
$$
Moreover, we claim that
$$
\aligned
&\bold P\left(\sup_{t_n\leq
s\leq1}\left|n [( F_n(s)-F_n(t_n))-(s-t_n)]-\sqrt
{n(1-t_n)}\bar
B_n\left(\frac{s-t_n}{1-t_n}\right)\right|>C\log
n+x\right)\\  \vspace {1\jot} &\qquad\qquad \leq Ke^{-\lambda
x}\;, \endaligned\tag$2.12'$
$$
(with possibly different constants $C$, \ $K$ and $\lambda$.)
To prove ($2.12'$) we have to show that a negligible error is
committed if the coefficient of $\bar B(\cdot)$ in (2.12)
$\sqrt{n (1-F_n(t_n))}$ is replaced by $\sqrt {n(1-t_n)}$.
This follows from the following estimate:
$$
\align
&\bold      P\left(\sup_{t_n\leq
s\leq1}\biggl|\left(\sqrt{n(1-t_n)}-\sqrt
{n(1-F_n(t_n))}\,\right)\bar
B_n\left(\frac{s-t_n}{1-t_n}\right)\biggl|>x\right) \\
&\qquad \leq \bold P\left(\left|\sqrt
{n(1-t_n)}-\sqrt   {n(1-F_n(t_n))}\right|>\sqrt
x\right)+\bold
P\left(\sup_{0\leq s\leq1}|\bar    B_n(s)|>\sqrt
x\right)\\ &\qquad\leq    \bold   P\left(\sqrt
n|F_n(t_n)-t_n|>\tfrac12\sqrt  x\right)+K\exp  \left(-\tfrac
x2\right)\leq Ke^{-\lambda x}         \;.
\endalign
$$
Now we can write for $t_n\le s\le 1$
$$
\align
&\sqrt
nB_n(s)-n(F_n(s)-s)=\frac{1-s}{1-t_n}\left\{\sqrt
{nt_n(1-t_n)} \xi_n-n(F_n(t_n)-t_n)\right\}   \\&
\qquad+\left\{\sqrt{n(1-t_n)}\bar
B_n\left(\frac{s-t_n}{1-t_n}\right)-n\bigl[
F_n(s)-F_n(t_n)-(s-t_n)\bigr]
\right\}\\&\qquad=\frac{1-s}{1-t_0}I_1(t_n
) +I_2(s,t_n)\;.
\endalign
$$
Since the term $I_1(t_n)$ is bounded in (2.11) and the term
$I_2(s,t_n)$ in ($2.12'$) the last identity implies (1.2).
The Proposition is proved.
\enddemo
 
\medpagebreak
 
\subheading{3.  The proof of  Theorem 2}
 First we
formulate a lemma which is proved similarly to Theorem 1.
 
\proclaim{Lemma  2}\it    Given  some  positive integer
$n$ and
$\beta>0$  let  $\xi_1,\dots,\xi_n$  be  independent  Poisson
distributed random variables with parameters $n^{-\beta}$ and
$\eta_1,\dots, \eta_n$ independent random variables such that
$\bold      P(\eta_j=1)=1-\bold      P(\eta_j=0)=n^{-\beta}$,
\ $j=1,\dots,n$.                   A
sequence
$\varepsilon_1,\dots,\varepsilon_n$ of independent, uniformly
distributed   random    variables on $[0,1]$   and    a
sequence $P_1(t),\dots,P_n(t)$,   $0<t<1$,   of   independent
Poisson
processes with parameter $1$ can be constructed in such a way
that
$$
 \sup_{1\leq  k\leq  n}\sup_{0\leq s\leq
n^{-\beta}}\biggl| k(F_k(s)-s)-\sum_{j=1}^k(P_j(s)-s)\biggr|
 =\sup_{1\leq
k\leq n}\biggl| \sum_{j=1}^k(\xi_j-\eta_j)\biggr|\;, \tag 3.1
$$
where the functions $F_k(\cdot)$  are the empirical
distribution functions defined with the help of the above
$\varepsilon$-s.\endproclaim
 
Lemma  2  enables  us  to  reduce  Part  a) of Theorem 2 to a
simpler   problem.    Namely,   if   we   have   a   sequence
$\varepsilon_1,\dots,\varepsilon_n$ of independent  uniformly
distributed  random  variables  on  $[0,1]$  and  a
sequence
$P_1(t),\dots,P_n(t)$, \ $0\leq t\leq1$ of independent
Poisson processes      with    parameter   $1$    define
$\xi_j=P_j(n^{-(1/2+\alpha)})$                           and
$\eta_j=jF_j(n^{-(1/2+\alpha)})-(j-1)F_{j-1}(n^{-(1/2+\alpha)})$,
\ $j=1,\dots,n$, where  $F_j$, $j=1,\dots,n$,  are the
empirical
distribution functions  defined with  the help  of the sample
$\varepsilon_1,\dots,\varepsilon_j$.   Then  Lemma  2 implies
that  a  new  sequence  of  independent uniformly distributed
random    variables    on    $[0,1]$  \  $\bar\varepsilon_j$,
$j=1,\dots,n$  and  a  new  sequence  of  independent Poisson
processes with parameter $1$ \ $\bar P_j(t)$, $j=1,\dots,n$,
can be constructed in such a way that
$$
\align
  &\sup_{1\leq  k\leq n}
\sup_{0<s<n^{-(1/2+\alpha)}}
\biggl|k(\bar F_k(s)-s)-\sum_{j=1}^k(\bar
P_j(s)-s)\biggr|\\
&\qquad=\sup_{1\leq
k\leq              n}\biggl|
k(F_k(n^{-(1/2+\alpha)})
-n^{-(1/2+\alpha)})-\sum_{j=1}^k\bigl(P_j(n^{-(1/2+
\alpha)})-n^{-(1/2+\alpha)}\bigr)\biggr|\;.
\endalign
$$
This relation enables  us to drop  $\sup_{0<t<n^{-(1/2+\alpha
)}}$   from   (1.3)   and   to   consider   only  the
argument $t=n^{-(1/2+\alpha)}$ instead.
 
\demo{Proof    of    Lemma    2}    Let
$\varepsilon'_1,
\,\varepsilon'_2,\dots$,   be   a   sequence   of independent
uniformly  distributed  random  variables on $[0,n^{-\beta}]$
which  is  independent  of  the  random variables $\xi$-s and
$\eta$-s,       put       $S_k=\sum_{j=1}^k\xi_j$,        and
$T_k=\sum_{j=1}^k\eta_j$,   $k=1,\dots,n$.    If   $\eta_k=1$
define $\varepsilon_k=\varepsilon'_l$  with $l=T_k$.   Define
the Poisson process $P_k(t)$ in the interval $[0,n^{-\beta}]$
in  the   following  way:   It  has   jumps  in   the  points
$\varepsilon'_j,\dots,        \varepsilon'_{j+p}$        with
$j=S_{k-1}+1$, $j+p=S_k$.  (If $S_{k-1}+1>S_k$ then it has no
jumps  in  this  interval.)   Define  the  Poisson  processes
$P_k(t)$,  $0<t<1$,  in  such  a  way  that  on  the interval
$[0,n^{-\beta}]$ they agree with the already defined  Poisson
processes,   and   the   processes  $P_k(t)-P_k(n^{-\beta})$,
\ $n^{-\beta}<t<1$, \  $k=1,2,\dots$   are  independent   of
the processes  $P_k(t)$, \ $0<t<n^{-\beta}$,  and  of  each
other.
Otherwise  they  are   arbitrarily  defined.   Finally,   let
$\varepsilon^{\prime\prime}_1,\varepsilon^{\prime\prime}_2,\dots$  be  a  sequence   of
independent  uniformly  distributed  random  variables on the
interval $[n^{-\beta},1]$  which is  independent both  of the
sequence   $\varepsilon'_1,\varepsilon'_2,\dots$   and    the
$\eta$-s,  and   define  $\varepsilon_k=\varepsilon^{\prime\prime}_k$   if
$\eta_k=0$.            Then           the           sequences
$\varepsilon_1,\dots,\varepsilon_n$ and $P_1(t),\dots,P_n(t)$
have  the  prescribed  distributions.   On  the  other   hand
relation  (3.1)  holds,  since   for  all  $1\leq  k\leq   n$
$$
\sup_{0\leq                                   s<n^{-\beta}}
\biggl|k(F_k(s)-s)-\sum_{j=1}^k(P_j(s)-s)\biggr|=\left|T_k-S_k
\right|. $$
\enddemo
 
\demo{Proof of Theorem 2} Part  a.)  By Lemma 2 it is
enough
to construct  a sequence  of independent  Poisson distributed
random variables $\xi_1,\dots,\xi_n$ with parameter
$n^{-(1/2+\alpha)}$ and a
sequence      of      independent      random       variables
$\eta_1,\dots,\eta_n$, \ $\bold
P(\eta_j=1)=\allowmathbreak 1-\bold
P(\eta_j=0)=\allowmathbreak n^{-(1/2+\alpha)}$ in such a way
that
$$
\bold P\biggl(\sup_{1\leq k\leq
n}\biggl|\sum_{j=1}^k(\xi_j-\eta_j)\biggr|>m\biggr)
\leq C(m)n^{-2(m+1)\alpha} \tag 3.2
$$
for  all  $m=0,1,\dots$.   Let  us  consider  two independent
Poisson processes $P_1(t)$  and $P_2(t)$ with  parameter $1$,
and                                                    define
$\xi_j=P_1(jn^{-(1/2+\alpha)})-P_1((j-1)n^{-(1/2+\alpha)})$,
\
$j=1,2,\dots,n$.  To define  $\eta_j$ let us  first introduce
the     random     variables    $\xi'_j=P_2(js)-P_2((j-1)s)$,
\
$j=1,\dots,n$,    where     $e^{-s}=(1-n^{-(1/2+\alpha)})\exp
(n^{-(1/2+\alpha)})$.  Let  $\eta_j=1$ if
$\xi_j+\xi'_j\geq1$,
and zero otherwise.  Then both sequences  $\xi_1,\dots,\xi_n$
and  $\eta_1,\dots,\eta_n$  consist  of  independent   random
variables with the right distribution.  (Observe that  $\bold
P(\eta_j=0)=\allowmathbreak\bold          P(\xi_j=0,  \;
\xi'_j=0)=\allowmathbreak\exp
(-n^{-(1/2+\alpha)}-s)=1-n^{-(1/2+\alpha)}$.)   It  remains
to  show  that  the  above  defined  $\xi_j$-s and $\eta_j$-s
satisfy (3.2).  Observe that  $\sum_{j=1}^k(\eta_j-\xi_j)\leq
\sum_{j=1}^k\xi'_j$,   and    $\sum_{j=1}^k(\xi_j-\eta_j)\leq
\sum_{j=1}^k\bar   \xi_j$   with   $\bar\xi   _j=\xi_j-1$ if
$\xi_j>0$, and $\bar \xi_j=0$ if $\xi_j=0$.  Hence
$$
\bold               P\left(\sup_{1\leq               k\leq
n}\sum_{j=1}^k(\eta_j-\xi_j)>m\right)\leq
\bold P\left(\sum_{j=1}^n\xi'_j      \geq      m+1\right)\leq
C(m)n^{-2(m+1)\alpha}, \tag 3.3
$$
(here we use that  $\sum_{j=1}^n\xi'_j$ is  a Poisson
distributed
random variable with parameter $ns\leq n^{-2\alpha}$) and
$$
\align
&\bold     P\left(\sup_{1\leq     k\leq     n}\sum_{j=1}^k
(\xi_j-\eta_j)>m\right)   \leq\bold   P\left(\sum_{j=1}^n
\bar\xi_j\geq
m+1\right)\tag   3.4\\
&\qquad\leq    \exp(-2\alpha   (m+1)\log    n)E\exp
\biggl(2\alpha\log
n\sum_{j=1}^n\bar\xi_j\biggr) \\
&\qquad=(E\exp(2\alpha\bar\xi_1\log  n))^n  n^{-2(m+1)\alpha}
. \endalign
$$
We claim that $ E\exp(2\alpha \bar\xi_1 \log n)\leq
1+\frac Cn $
with some $C>0$ independent of $n$.  This inequality together
with (3.4) and  (3.3) imply (3.2)  and hence also  Part a) of
Theorem 2.  We have
$$
\align
E\exp       (2\alpha\bar\xi_1\log        n)
&\leq1+
\sum_{j=1}^{\infty}
\frac{\exp(-n^{-(1/2+\alpha)}+2j\alpha\log
n)}{(j+1)!}                     n^{-(j+1)(\alpha+1/2)}\\
&\leq
1+\sum_{j=1}^{\infty}
\frac 1{(j+1)!}n^{(j-1)(\alpha-1/2)-1}\leq 1+\frac Cn
\endalign
$$
for $0\leq \alpha\leq1/2$.
 
Proof of Part b.)  Let us fix some $1/2>\delta>0$, and  apply
Part  a)  with  $\alpha  =\delta$  and  $2^n$, $n=0,1,\dots$.
Because of  formula (1.3)  in the  special case  $m=0$ we
can
construct  a  sequence   of  independent  Poisson   processes
$P_1^{(n)}(t),\dots,P_{2^n}^{(n)}(t)$ with parameter $1$  and
a  sequence  of  independent  uniformly  distributed   random
variables                     on                      $[0,1]$
\ $\varepsilon_1^{(n)},\dots,\varepsilon_{2^n}^{(n)}$ in such
a way that
$$
\bold  P\biggl(\sum_{j=1}^kP_j^{(n)}(t)=  kF_k^
{(n)}(t)\quad\text
{for }0\leq  t<2^{-(1/2+\delta)n}\text{ and  all
}k=1,\dots,2^n\biggr)
 \leq C2^{-2n\delta}.   \tag 3.5
$$
(The upper index in  $F_k^{(n)}$ denotes that this  empirical
distribution function  is constructed  with the  help of  the
sample $\varepsilon _1^{(n)},\dots,\varepsilon_{2^n}^{(n)}$.)
We   may   assume   that   the   above   defined    sequences
$\varepsilon_j^{(n)}$  and  $P_j^{(n)}$  are  independent for
different   $n$.    Define   $P_j(t)=P_{j+1-2^n}^{(n)}(t)$
and
$\varepsilon_j=\varepsilon_{j+1-2^n}^{(n)}$ for $2^n\le
j<2^{n+1}$, $n=0, 1, 2, \dots$.
Then relation (3.5) implies that the events $A_n$
$$
\align
A_n=\biggl\{\sum_{j=2^n}^k\bold
P_j(t)=kF_k(t)-&(2^n-1)  F_{2^n-1}(t)
\\
&\text{for all }0\leq     t\leq     2^{-n(1/2+\delta)}
\text{ \ and }2^n\le k<2^{n+1}\biggr\}
\endalign
$$
satisfy the relation
$$\sum_{n=1}^{\infty }\bold P(A_n)<\infty.$$
 
Hence  by  the  Borel--Cantelli  lemma  there  is  a   random
threshold $n(\omega)$ such that for $n>n(\omega)$
$$
\align
\sum_               {j=2^n}^k
P_j(t)-t =k(F_k(t)-t)-(2^n-1)&[F_{2^n-1}(t)-t]\\
&\text{ for all } 2^n\leq k<2^{n+1}\text{ and
}t<k^{(-1/2+\delta)}\endalign
$$
with probability  $1$. The last  relation implies  Part b)
of Theorem 2.  \enddemo
 
\medpagebreak
 
\flushpar
{\bf References:}
 
\flushpar Kiefer, J. (1972).  Iterated logarithm analogues
for sample quantiles when $p_n\downarrow0$.  {\it Proc. 6.th
Berkeley Sympos\.  Math\.   Statist\.  Probab}\.   Univ. of
California Press 1, 227--244
 
 
\flushpar Koml\'os, J., Major, P., Tusn\'ady,  G. (1975).
An approximation of partial sums  of independent r.v.'s and  the
sample d.f.  I. {\it Z. Wahr. verw.  Gebiete} {\bf34} 33--58
 
\flushpar Cs\"org\H o, M., Cs\"org\H o, S., Horv\'ath, L.,
Mason, D.M. (1986). Normal and stable convergence of integral
functions of the empirical distribution functions. {\it Ann\.
Probab}\. {\bf14} 86--118
 
 
\flushpar Mason, D.M., van Zwet, W. (1987).  A refinement of
the KMT  inequality  for  the  uniform  empirical process. {\it
Ann\. Probab}\. {\bf15} 871--884
 
 
\bye
 
