Convergence of the empirical process in Mallows distance, with an application to bootstrap performance

We study the rate of convergence of the Mallows distance between the empirical distribution of a sample and the underlying population. The surprising feature of our results is that the convergence rate is slower in the discrete case than in the absolutely continuous setting. We show how the hazard function plays a significant role in these calculations. As an application, we recall that the quantity studied provides an upper bound on the distance between the bootstrap distribution of a sample mean and its true sampling distribution. Moreover, the convenient properties of the Mallows metric yield a straightforward lower bound, and therefore a relatively precise description of the asymptotic performance of the bootstrap in this problem. Statistical Laboratory, DPMMS/CMS, University of Cambridge, Wilberforce Road, Cambridge CB3 0WB, UK. Fax: +44 1223 337956 Email: [email protected] Email: [email protected]