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The uniform threshold class is Glivenko–Cantelli

Example

Assume Countable Choice. Let P be uniform probability on [0,1], let X1,X2,… be iid with law P, and let F={ft:t∈[0,1]},ft(x)=1[0,t](x). Then F is strongly P-Glivenko–Cantelli: sup⁡0≤t≤1∣Pnft−Pft∣⟶0almost surely.

Facts & Assumptions

Given: Countable Choice, the iid Uniform[0,1] experiment, the threshold class F, and the bracketing Glivenko–Cantelli theorem.

[A1]

P([0,t])=t for t∈[0,1], and the envelope F(x)=1 is integrable.

[A2]

Countable Choice supplies the theorem's strong-law branch and, for each fixed t<1, a sequence of rational approximants chosen from the intervals (t,min⁡(1,t+1/k)) (The Axiom of Countable Choice (ACω)).

[F1]

Glivenko–Cantelli classes: uniform convergence of Pnf to Pf over the class defines the Glivenko–Cantelli property.

[F2]

Covering, packing, bracketing numbers, and metric entropy: an L1(P) bracket has measurable endpoints, contains functions lying between them P-almost everywhere, and has width P(u−l).

[F3]

Empirical, centered, and Rademacher processes: for iid observations, Pnft=n−1∑i=1nft(Xi) and Pft=∫ft dP.

[F4]

Glivenko–Cantelli theorem by bracketing entropy: a pointwise-measurable class with an integrable envelope and finite L1(P) bracketing number at every positive scale is strongly P-Glivenko–Cantelli when Countable Choice is assumed.

[F5]

Q is countably infinite: Q is countable.

[F6]

Every subset of an at most countable set is at most countable: every subset of an at most countable set is at most countable.

[F7]

The rationals embed densely in the reals: between any two distinct real numbers there is a rational.

Verification

Given: The objects and facts above.

1.1A2F5F6F7construct

The class is pointwise measurable. Since 1∈Q, the rational thresholds together with 1 are indexed by Q∩[0,1], a countable set by [F5]–[F6]. For each fixed t<1, Countable Choice [A2] selects qk∈Q∩(t,min⁡(1,t+1/k)), which exist by [F7]. Then qk→t from above, so 1[0,qk](x)→1[0,t](x) for every x∈[0,1].

1.2A1F2choosealgebra

For each integer m≥1, the m brackets [fj/m,f(j+1)/m], 0≤j<m, cover F and have L1(P) width (j+1)/m−j/m=1/m. Thus for every ϵ>0, taking an integer m>1/ϵ gives N[](ϵ,F,L1(P))≤m<∞. The envelope condition is [A1].

2.1A2F1F3F4step 1.1step 1.2∎

By [F4] under [A2], the hypotheses verified in steps 1.1 and 1.2 imply sup⁡t∈[0,1]∣Pnft−Pft∣→0 almost surely, which is the claimed strong Glivenko–Cantelli property by [F1].

Depends on

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