A weak convergence result for sequential empirical processes under weak dependence

Abstract: The purpose of this paper is to prove a weak convergence result for empirical processes indexed in general classes of functions and with an underlying $\alpha$-mixing sequence of random variables. In particular the uniformly boundedness assumption on the function class, which is required in most of the existing literature, is spared. Furthermore under strict stationarity a weak convergence result for the sequential empirical process indexed in function classes is obtained, as a direct consequence. Two examples in mathematical statistics, that cannot be treated with existing results, are given as possible applications.