Let X1,…,Xn be i.i.d. random observations taking values in [0,1] with a continuous distribution function F. Let F^n(x)=n−1∑i=1n1{Xi⩽x} for each x∈[0,1].
(a) State the Kolmogorov-Smirnov theorem. Explain how this theorem may be used in a goodness-of-fit test for the null hypothesis H0:F=F0, with F0 continuous.
(b) Suppose you do not have access to the quantiles of the sampling distribution of the Kolmogorov-Smirnov test statistic. However, you are given i.i.d. samples Z1,…,Znm with distribution function F0. Describe a test of H0:F=F0 with size exactly 1/(m+1).
(c) Now suppose that X1,…,Xn are i.i.d. taking values in [0,∞) with probability density function f, with supx⩾0(∣f(x)∣+∣f′(x)∣)<1. Define the density estimator
f^n(x)=n−2/3i=1∑n1{Xi−2n1/31⩽x⩽Xi+2n1/31},x⩾0.
Show that for all x⩾0 and all n⩾1,
E[(f^n(x)−f(x))2]⩽n2/32.