A uniform $L^1$ law of large numbers for functions of i.i.d. random variables that are translated by a consistent estimator

Abstract

We develop a new $L^1$ law of large numbers where the $i$-th summand is given by a function $h(\cdot)$ evaluated at $X_i - \theta_n$, and where $\theta_n \circeq \theta_n(X_1,X_2,\ldots,X_n)$ is an estimator converging in probability to some parameter $\theta\in \mathbb{R}$. Under broad technical conditions, the convergence is shown to hold uniformly in the set of estimators interpolating between $\theta$ and another consistent estimator $\theta_n^{\star}$. Our main contribution is the treatment of the case where $|h|$ blows up at $0$, which is not covered by standard uniform laws of large numbers.