Let $\alpha\in\mathbb R^d$, with $\alpha\neq 0$. Take a sequence of iid random variables $X^{1},\dots,X^{n}$ with values in $\mathbb R^d$ and denote $R$ the cdf of $\alpha X^1$ (where the product is a scalar product). Now consider $\alpha^n=g(X^{1},\dots,X^{n})$ for some function $g$, and suppose we know that $\alpha^n\to\alpha$ almost surely as $n\to\infty$. Define
$\hat R_n(t)=\frac{1}{n}\displaystyle\sum_{i=1}^n \mathbf 1_{\left\{\alpha^nX^i\leq t\right\}},$
which is the empirical distribution of $\alpha^nX^{1},\dots, \alpha^nX^{n}$.
Can we say that $\hat R_n(t)\to R(t)$ as $n\to\infty$?

$\begingroup$ What kind of convergence are you looking for? Pointwise or uniform in $t$? $\endgroup$ – Santiago Jan 2 '14 at 16:58

$\begingroup$ I'm interested in anything that can be said about this convergence, of course the stronger result would be better! $\endgroup$ – splinter123 Jan 3 '14 at 11:54
The answer is yes for $d=1$. By denoting $F$ the cdf of $X^1$, you have that $\hat{F}_n(t)$ converges uniformly to $F(t)$ by the Glivenko–Cantelli theorem. You want to show that $\hat{F}_n(t/\alpha_n)$ converges uniformly to $F(t/\alpha)$. You can check this on open sets $(\infty,t)$. You get $$ \left\int_{\infty}^{t/\alpha_n} d\hat{P}_n\int_{\infty}^{t/\alpha} dP\right\le \left\int_{\infty}^{t/\alpha} d\hat{P}_ndP\right+\left\int_{\infty}^{t/\alpha_nt/\alpha} d\hat{P}_ndP\right+\left\int_{\infty}^{t/\alpha_nt/\alpha} dP\right$$
Now use uniform convergence of $\hat{F}_n$ to $F$ to make the first two terms as small as you want. Then you can use uniform convergence of $t/\alpha_n\rightarrow t/\alpha$ to make the third term small (assuming that $\alpha\neq 0)$.

$\begingroup$ thanks a lot, this works in a univariate setting. But I was actually mainly concerned with the multivariate version of the result, where this kind of technique doesn't seem to be applicable... I restated the question in its more general form. $\endgroup$ – splinter123 Jan 3 '14 at 13:31

$\begingroup$ for d>1, same proof goes through once you have a GlivenkoCantelli type result. This is the case for instance if your random variables are compactly supported. I do not know what is the most general form of result you can get. I think with suitable choice of estimator (e.g. good kernel estimators instead of empirical mean) or weaker modes of convergence (e.g. in probability) you can make things work. this is perhaps a good reference: stat.washington.edu/jaw/RESEARCH/TALKS/talk2.pdf $\endgroup$ – adrido Jan 3 '14 at 18:13