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# Asymptotic Normality of Nonparametric Kernel Type Deconvolution Density Estimators: crossing the Cauchy boundary

## 1 Introduction

Let $`X_1,\mathrm{},X_n`$ be i.i.d. observations, where $`X_i=Y_i+Z_i`$ and $`Y_i`$ and $`Z_i`$ are independent random variables. Assume that the unobservable $`Y`$’s have distribution function $`F`$ and density $`f`$, and that the $`Z`$’s have a known density $`k`$. Note that $`g`$ equals $`kf`$, where $``$ denotes convolution. The deconvolution problem is the problem of estimating the density $`f`$ from the observations $`X_i`$ from the convolution density $`g`$.

A well known estimator of $`f(x)`$ is based on Fourier inversion and kernel smoothing. Let $`w`$ denote a kernel function and $`h>0`$ a bandwidth. The kernel type estimator $`f_{nh}(x)`$ of the density $`f`$ at the point $`x`$ is defined as

$$f_{nh}(x)=\frac{1}{2\pi }_{\mathrm{}}^{\mathrm{}}e^{itx}\frac{\varphi _w(ht)\varphi _{emp}(t)}{\varphi _k(t)}𝑑t=\frac{1}{nh}\underset{j=1}{\overset{n}{}}v_h\left(\frac{xX_j}{h}\right),$$
(1.1)
with

$$v_h(u)=\frac{1}{2\pi }_{\mathrm{}}^{\mathrm{}}\frac{\varphi _w(s)}{\varphi _k(s/h)}e^{isu}𝑑s.$$

Here $`\varphi _{emp}`$ denotes the empirical characteristic function of the sample, i.e. $`\varphi _{emp}(t)=\frac{1}{n}_{j=1}^ne^{itX_j},`$ and $`\varphi _w`$ and $`\varphi _k`$ denote the characteristic functions of $`w`$ and $`k`$ respectively. Note that, even though (1.1) has the form of an ordinary kernel density estimator, because of the dependence of $`v_h`$ on the bandwidth $`h`$ it is different. Kernel type estimators for the density $`f`$ and its distribution function $`F`$ have been studied by many authors. Relatively recent papers are Zhang (1990), Fan (1991a,b), Fan and Liu (1997), Van Es and Kok (1998), Cator (2001), Van Es and Uh (2001), and Delaigle and Gijbels (2002). For an introduction see Wand and Jones (1995). This paper covers a chapter in Uh (2003).

The expectation of the estimator (1.1) has a familiar form. We have, see for instance Stefanski and Carroll (1990),

$$\mathrm{E}f_{nh}(x)=\mathrm{E}\frac{1}{h}w\left(\frac{xY_j}{h}\right).$$
(1.2)
Indeed, this expectation is equal to the expectation of an ordinary kernel density estimator of $`f`$ based on observations $`Y_j`$ from $`f`$. Expansions of (1.2) for $`h0`$ are standard in kernel density estimation theory and are hence omitted here. See for instance Wand and Jones (1995).

Deconvolution problems are usually divided in two groups, ordinary smooth deconvolution problems, where the rate of decay to zero at infinity and minus infinity of the characteristic function $`\varphi _k`$ is algebraic, and super smooth deconvolution problems, where it is essentially exponential. This rate of decay, and hence the smoothness of the known density $`k`$, has a tremendous influence on the variance of the estimator, see for instance Fan (1991) or Cator (2001). By (1.2) it is clear that the expectation is not affected. The general picture is that with increasing smoothness of $`k`$ the estimation problem becomes harder and the the optimal rates become slower.

Our aim is to derive classical central limit type theorems for these kernel type deconvolution estimators. For ordinary smooth deconvolution this has first been achieved in Fan (1991) and extended in Fan and Liu (1997). The limit behaviour in this case is essentially equal to that of a kernel estimator of a higher order derivative of a density. In some specific deconvolution problems this is evident from relatively simple inversion formulas, cf. Van Es and Kok (1998). For instance, for generalized gamma deconvolution where $`k`$ is the density of $`\lambda _1E_1+\lambda _2E_2+\mathrm{}+\lambda _mE_m`$, with $`\lambda _1>1,\mathrm{},\lambda _m>0`$ and $`E_1,\mathrm{},E_m`$ independent standard exponential random variables we have

$$\sqrt{nh^{2m+1}}(f_{nh}(x)\mathrm{E}f_{nh}(x))\stackrel{𝒟}{}N(0,\sigma ^2),$$
(1.3)
where $`\sigma ^2=(\lambda _1\mathrm{}\lambda _m)^2w^{(m)}(v)^2𝑑vg(x)`$. This result is typical for ordinary smooth deconvolution, in the sense of a rate of convergence that is algebraic in $`h`$.

Asymptotic normality of $`f_{nh}(x)`$ in super smooth deconvolution problems has been derived by Zhang (1991), Fan (1991b) and Fan and Liu (1997). Under suitable conditions their theorems state

$$\sqrt{n}\frac{f_{nh}(x)\mathrm{E}f_{nh}(x)}{s_n}\stackrel{𝒟}{}N(0,1),$$
(1.4)
where $`Z_{nj}=\frac{1}{h}v_h\left(\frac{xX_j}{h}\right),j=1,\mathrm{}n`$ and either $`s_n^2=\frac{1}{n}_{j=1}^nZ_{nj}^2`$ or $`s_n^2`$ equals the sample variance of $`Z_{n1},\mathrm{},Z_{nn}`$. So the estimator is studentized in some respect. The asymptotic variance is not clear. Van Es and Uh (2001) derive a central limit type theorem like (1.3) for super smooth deconvolution, where the asymptotic variance is clear and the normalisation is deterministic. Their result is given in Theorem 1.1 below.

Condition W

Let $`\varphi _w`$ be real valued, symmetric and have support $`[1,1]`$. Let $`\varphi _w(0)=1`$, and let
$`\varphi _w(1t)=At^\alpha +o(t^\alpha )`$ as $`t0`$, for some constants $`A`$ and $`\alpha 0`$.

Condition K

Assume that $`\varphi _k`$ has exponentially decreasing tails, i.e. $`\varphi _k(t)C|t|^{\lambda _0}e^{|t|^\lambda /\mu },`$ as $`|t|\mathrm{}`$, for some $`\lambda >1,\mu >0,\lambda _0`$, and some real constant $`C`$. Furthermore assume $`\varphi _k(t)0`$ for all $`t`$.

Note that Condition K excludes the Cauchy distribution and all other distributions for which the tail of the characteristic function decreases more slowly than $`e^{|t|}`$.

###### Theorem 1.1.

Assume Condition W, Condition K and $`\mathrm{E}X^2<\mathrm{}`$. Then, as $`n\mathrm{}`$ and $`h0`$,

$$\frac{\sqrt{n}}{h^{\lambda (1+\alpha )+\lambda _01}e^{\frac{1}{\mu h^\lambda }}}(f_{nh}(x)\mathrm{E}f_{nh}(x))\stackrel{𝒟}{}N(0,\frac{A^2}{2\pi ^2}(\mu /\lambda )^{2+2\alpha }(\mathrm{\Gamma }(\alpha +1))^2).$$
(1.5)
Surprisingly, the asymptotic variance is distribution free, in the sense that it does not depend on $`f`$ or $`x`$. The condition $`\lambda >1`$ was needed to ensure that remainder terms in the proof of this theorem are asymptotically negligible. Note also the condition that the second moment of the observations is finite.

By studying deconvolution problems where the known distribution is a symmetric stable distribution we will investigate the asymptotic behavior of the kernel deconvolution estimators if the conditions of Theorem 1.1 are not satisfied.

## 2 Deconvolution for symmetric stable densities

Consider deconvolution for symmetric stable densities $`k`$ which have characteristic function

$$\varphi _k(t)=e^{|t|^\lambda /\mu },\mu >0\text{and}0<\lambda 2.$$
(2.1)
The condition $`0<\lambda 2`$ is necessary to ensure that $`k`$ is a density, cf. Chung (1974). Hence the normal distribution is, in some sense, extreme. Note that for $`\lambda `$ equal to one $`k`$ is a Cauchy density. The only symmetric stable distribution with finite second moment is the normal distribution for which $`\lambda `$ equals two. This implies that, unless $`\lambda `$ equals two, the second moment of the observations will be infinite. Hence the normal distribution is the only symmetric stable distribution for which Theorem 1.1 applies. We will derive a limit behavior, similar to that described by Theorem 1.1, for cases where $`\lambda `$ is larger than one. Of even more interest are the cases where $`\lambda `$ is equal to one, i.e. Cauchy deconvolution, or smaller than one. It turns out that, while crossing the Cauchy boundary, a different limit behavior appears.

For simplicity we only consider the sinc kernel, defined by

$$w(x)=\mathrm{sin}x/(\pi x)(\varphi _w(t)=I_{[1,1]}(t)).$$
(2.2)
Results for a more general class of kernels $`w`$ are given in Uh (2003).

First we give a heuristic derivation of the results which are rigorously proved in Section 3. Note that the estimator $`f_{nh}`$ can be rewritten as

$$f_{nh}(x)=\frac{1}{\pi nh}\underset{j=1}{\overset{n}{}}_0^1\mathrm{cos}\left(s\left(\frac{X_jx}{h}\right)\right)e^{(s/h)^\lambda /\mu }𝑑s.$$
(2.3)
Let $`S`$ denote a random variable, independent of the $`X_j`$, having probability density $`f_S`$ given by

$$f_S(s)=\frac{1}{c(h)}e^{(s/h)^\lambda /\mu }$$

on the interval $`[0,1]`$, where the normalization constant $`c(h)`$ is given by $`c(h)=_0^1e^{(s/h)^\lambda /\mu }𝑑s.`$ Then (2.3) is equal to

$$f_{nh}(x)=\frac{c(h)}{\pi nh}\underset{j=1}{\overset{n}{}}\mathrm{E}(\mathrm{cos}((S/h)(X_jx))|X_j)=\frac{c(h)}{\pi nh}\underset{j=1}{\overset{n}{}}\mathrm{E}_S\mathrm{cos}((S/h)(X_jx)).$$
(2.4)
It turns out that the asymptotics are greatly determined by the asymptotics of the distribution of the random variable $`S`$. Let us first consider its expectation and variance. The following lemma gives expansions of the normalization constant, the expectation of $`S`$ and the variance of $`S`$. Its proof is given in Section 4.

###### Lemma 2.1.

For $`0<\lambda 2`$ and $`h0`$ we have

$`c(h)`$ $`=`$ $`\left({\displaystyle \frac{\mu }{\lambda }}h^\lambda +O(h^{2\lambda })\right)e^{(1/h)^\lambda /\mu },`$ (2.5)
$`\mathrm{E}S`$ $`=`$ $`1{\displaystyle \frac{\mu }{\lambda }}h^\lambda +o(h^\lambda ),`$ (2.6)
$`VarS`$ $`=`$ $`{\displaystyle \frac{\mu ^2}{\lambda ^2}}h^{2\lambda }+o(h^{2\lambda }).`$ (2.7)
These expansions suggest to normalize $`S`$ as follows. Write

$$E_n=\frac{\lambda }{\mu }\frac{(S1)}{h^\lambda }.$$
(2.8)
The density function, $`f_{E_n}`$ say, of $`E_n`$ is given by

$$f_{E_n}(v)=\frac{\mu }{\lambda }\frac{h^\lambda e^{1/(\mu h^\lambda )}}{c(h)}e^{1/(\mu h^\lambda )((1+(\mu /\lambda )h^\lambda v)^\lambda 1)}𝐈_{[(\lambda /\mu )h^\lambda ,0]}(v).$$

By Taylor expansion and Lemma 2.1 it converges uniformly on bounded intervals to $`e^v𝐈_{(\mathrm{},0]}(v)`$. This implies that $`E_n`$ converges in distribution to $`E`$ where $`E`$ denotes a standard exponential random variable.

For the terms in (2.4) we have

$`\mathrm{E}_S\mathrm{cos}((S/h)(X_jx))=\mathrm{E}_S\mathrm{cos}(((1+S1)/h)(X_jx))`$
$`=\mathrm{E}_S\mathrm{cos}((1/h)(X_jx))\mathrm{cos}(((S1)/h)(X_jx))`$
$`\mathrm{E}_S\mathrm{sin}((1/h)(X_jx))\mathrm{sin}(((S1)/h)(X_jx))`$
$`=\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_{E_n}\mathrm{cos}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E_n(X_jx)\right)`$ (2.9)
$`\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_{E_n}\mathrm{sin}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E_n(X_jx)\right).`$ (2.10)
It now becomes apparent that we may expect different asymptotics in the cases $`0<\lambda <1`$, $`\lambda =1`$ and $`1<\lambda 2`$. In these cases the factor $`h^{\lambda 1}`$ in (2.9) and (2.10) diverges to infinity, equals one and vanishes.

The next three theorems establish asymptotic normality for $`1<\lambda 2`$, i.e. for the symmetric stable densities whose characteristic function decreases more rapidly than the characteristic function of the Cauchy distribution, for Cauchy deconvolution, and for $`1/3<\lambda 1`$, i.e. for the symmetric stable densities whose characteristic function decreases more slowly than the characteristic function of the Cauchy distribution.

###### Theorem 2.1.

Let $`w`$ be the sinc kernel (2.2). If $`1<\lambda 2`$ then, as $`n\mathrm{}`$ and $`h0`$, we have

$$\frac{\sqrt{n}}{h^{\lambda 1}e^{\frac{1}{\mu h^\lambda }}}(f_{nh}(x)\mathrm{E}f_{nh}(x))\stackrel{𝒟}{}N(0,\frac{1}{2\pi ^2}(\mu /\lambda )^2).$$
(2.11)
###### Theorem 2.2.

Let $`w`$ be the sinc kernel (2.2). If $`\lambda `$ equals one, i.e. Cauchy deconvolution, then, as $`n\mathrm{}`$ and $`h0`$, we have

$$\sqrt{n}e^{\frac{1}{\mu h}}(f_{nh}(x)\mathrm{E}f_{nh}(x))\stackrel{𝒟}{}N(0,\sigma ^2),$$
(2.12)
with

$$\sigma ^2=\frac{1}{2\pi ^2}\frac{\mu ^2}{1+\mu ^2(ux)^2}g(u)𝑑u.$$
(2.13)
###### Theorem 2.3.

Let $`w`$ be the sinc kernel (2.2). If $`1/3<\lambda <1`$ then, as $`n\mathrm{},h0`$ and $`nh\mathrm{}`$, we have

$$\frac{\sqrt{n}}{h^{(\lambda 1)/2}e^{(1/h)^\lambda /\mu }}(f_{nh}(x)\mathrm{E}f_{nh}(x))\stackrel{𝒟}{}N(0,\sigma ^2),$$
(2.14)
with

$$\sigma ^2=\frac{1}{2\pi }\frac{\mu }{\lambda }g(x).$$
(2.15)
The global picture we see from these three theorems is that for $`1/3<\lambda <1`$, apart from the exponential rate of convergence, the asymptotic variance resembles the asymptotic variance of a kernel density estimator, in the sense that it depends on the value of $`g`$ at the point $`x`$, as in (1.3). This is typical for smooth deconvolution problems, though the rate of the variance is exponential in $`h`$ and not algebraic. For Cauchy deconvolution we see that the asymptotic variance depends globally on $`g`$. For $`1<\lambda 2`$, the estimator is asymptotically distribution free. It shares the asymptotics of Theorem 1.1, even though the second moment of the observations is infinite for $`1<\lambda <2`$. Concluding we see that the restriction $`\lambda >1`$ in Theorem 1.1 is essential and that the finite second moment condition might not be. Crossing the Cauchy boundary we get different asymptotics.

## 3 Proofs

### 3.1 Basic lemma

###### Lemma 3.1.

Let $`Y_h=(Xx)/hmod2\pi `$. As $`n\mathrm{}`$ and $`h0`$,

$$(X,Y_h)\stackrel{𝒟}{}(X,U),$$
(3.1)
where $`U`$ is uniformly distributed on the interval $`[0,2\pi ]`$. Moreover $`X`$ and $`U`$ are independent.

Assume $`0<\lambda <1`$. Let $`z`$ be a bounded periodic function with period $`2\pi `$ and let $`\stackrel{~}{w}`$ be a continuous and integrable function such that $`\stackrel{~}{w}`$ is monotone in the tails. Then, as $`n\mathrm{}`$ and $`h0`$, we have

$$h^{\lambda 1}\mathrm{E}\left(z\left(\frac{X_jx}{h}\right)\stackrel{~}{w}(h^{\lambda 1}(X_jx))\right)\frac{1}{2\pi }_0^{2\pi }z(u)𝑑u\stackrel{~}{w}(u)𝑑ug(x).$$
(3.2)
Proof

Note that the density $`g=kf`$ of $`X`$ is continuous and bounded. For $`\mathrm{}<u<\mathrm{}`$, $`0y<2\pi `$ and $`M<u`$, we have by a Riemann sum approximation of the integral of $`g`$ over the interval $`[M,u]`$,

$`P(M<Xu,Y_hy)={\displaystyle \underset{i:M<(2\pi i+y)h+xu}{}}{\displaystyle _{2\pi ih+x}^{(2\pi i+y)h+x}}g(t)dt+O(h)`$
$`=`$ $`{\displaystyle \underset{i:M<(2\pi i+y)h+xu}{}}yhg(\xi _{i,h})+O(h)={\displaystyle \frac{y}{2\pi }}{\displaystyle \underset{i:M<(2\pi i+y)h+xu}{}}2\pi hg(\xi _{i,h})+O(h)`$
$`=`$ $`{\displaystyle \frac{y}{2\pi }}{\displaystyle _M^u}g(u)𝑑u+o(1)={\displaystyle \frac{y}{2\pi }}(G(u)G(M))+o(1),`$
where $`\xi _{i,h}`$ is a point on the interval $`[2i\pi h+x,2i\pi h+yh+x][2i\pi h+x,2(i+1)\pi h+x]`$.

For arbitrary $`ϵ>0`$ choose $`M(ϵ)`$ such that $`G(M(ϵ))=P(XM(ϵ))\frac{1}{3}ϵ`$ and $`n_0(ϵ)`$ such that for $`nn_0(ϵ)`$ we have $`|P(M(ϵ)<Xu,Y_hy)\frac{y}{2\pi }(G(u)G(M(ϵ)))|\frac{1}{3}ϵ`$. Then, for $`nn_0(ϵ)`$,

$`|P(X`$ $`u,Y_hy){\displaystyle \frac{y}{2\pi }}G(u)|`$
$`|P(Xu,Y_hy)P(M(ϵ)<Xu,Y_hy)|`$
$`+|P(M(ϵ)<Xu,Y_hy){\displaystyle \frac{y}{2\pi }}(G(u)G(M(ϵ)))|`$
$`+|{\displaystyle \frac{y}{2\pi }}(G(u)G(M(ϵ))){\displaystyle \frac{y}{2\pi }}G(u)|`$
$`P(XM(ϵ),Y_hy)+{\displaystyle \frac{1}{3}}ϵ+{\displaystyle \frac{y}{2\pi }}G(M(ϵ))ϵ.`$
Hence $`limP(Xu,Y_hy)=\frac{y}{2\pi }G(u)`$, which proves (3.1).

To prove (3.2) write

$`h^{\lambda 1}\mathrm{E}z\left({\displaystyle \frac{X_jx}{h}}\right)\stackrel{~}{w}(h^{\lambda 1}(X_jx))`$
$`=`$ $`h^{\lambda 1}{\displaystyle z\left(\frac{ux}{h}\right)\stackrel{~}{w}(h^{\lambda 1}(ux))g(u)𝑑u}`$
$`=`$ $`h^\lambda {\displaystyle z(v)\stackrel{~}{w}(h^\lambda v)g(x+hv)𝑑v}`$
$`=`$ $`h^\lambda {\displaystyle \underset{i}{}}{\displaystyle _0^{2\pi }}z(t+2\pi i)\stackrel{~}{w}(h^\lambda (t+2\pi i))g(x+h(t+2\pi i))𝑑t`$
$`=`$ $`{\displaystyle \frac{1}{2\pi }}{\displaystyle _0^{2\pi }}z(t)\rho (t)𝑑t,`$
where

$$\rho (t)=2\pi h^\lambda \underset{i}{}\stackrel{~}{w}(h^\lambda (t+2\pi i))g(x+h(t+2\pi i)).$$
(3.3)
With $`\xi _i(t)=h^\lambda (t+2\pi i)`$ for $`i`$, we have

$`\rho (t)=2\pi h^\lambda {\displaystyle \underset{i}{}}\stackrel{~}{w}(\xi _i(t))g(x+h^{1\lambda }\xi _i(t))`$ (3.4)
$`=`$ $`g(x)\mathrm{\hspace{0.17em}2}\pi h^\lambda {\displaystyle \underset{i}{}}\stackrel{~}{w}(\xi _i(t))+2\pi h^\lambda {\displaystyle \underset{i}{}}\stackrel{~}{w}(\xi _i(t))(g(x+h^{1\lambda }\xi _i(t))g(x)).`$
Let $`M>0`$ be such that $`|\stackrel{~}{w}|`$ is increasing on $`(\mathrm{},M]`$ and decreasing on $`[M,\mathrm{})`$. Then, for $`0t2\pi `$, we have

$$2\pi h^\lambda \underset{i:\xi _i(t)M}{}|\stackrel{~}{w}(\xi _i(t))|2\pi h^\lambda \underset{i:\xi _i(2\pi )M}{}|\stackrel{~}{w}(\xi _i(2\pi ))|+O(h^\lambda )_{\mathrm{}}^M|\stackrel{~}{w}(u)|𝑑u+o(1)$$
(3.5)
and

$$2\pi h^\lambda \underset{i:\xi _i(t)M}{}|\stackrel{~}{w}(\xi _i(t))|2\pi h^\lambda \underset{i:\xi _i(0)M}{}|\stackrel{~}{w}(\xi _i(0))|+O(h^\lambda )_M^{\mathrm{}}|\stackrel{~}{w}(u)|𝑑u+o(1).$$
(3.6)
The convergence of the sum to the integral follows from the approximation from below of $`\stackrel{~}{w}`$ by a step function and the dominated convergence theorem. The $`o(1)`$ terms in (3.5) and (3.6) can be chosen such that they do not depend on $`t`$.

Moreover, note that

$$2\pi h^\lambda \underset{i:M<\xi _i(t)<M}{}|\stackrel{~}{w}(\xi _i(t))|_M^M|\stackrel{~}{w}(u)|𝑑u,$$
(3.7)
uniformly for $`t`$ in $`[0,2\pi ]`$, by the continuity of $`\stackrel{~}{w}`$ and Riemann sum approximation.

By the bounds (3.5) and (3.6), and the uniform convergence in (3.7), one can show

$$2\pi h^\lambda \underset{i}{}|\stackrel{~}{w}(\xi _i(t))|_{\mathrm{}}^{\mathrm{}}|\stackrel{~}{w}(u)|𝑑u,$$
(3.8)
uniformly for $`t`$ in $`[0,2\pi ]`$. Similarly one can show

$$2\pi h^\lambda \underset{i}{}\stackrel{~}{w}(\xi _i(t))_{\mathrm{}}^{\mathrm{}}\stackrel{~}{w}(u)𝑑u,$$
(3.9)
uniformly for $`t`$ in $`[0,2\pi ]`$, which implies that the first term in (3.4) converges to $`g(x)_{\mathrm{}}^{\mathrm{}}\stackrel{~}{w}(u)𝑑u`$, uniformly for $`t`$ in $`[0,2\pi ]`$. Since $`g`$ is uniformly continuous we have $`g(x+h^{1\lambda }\xi _i(t))g(x)0`$, uniformly for $`i`$ and $`t`$ with $`M<\xi _i(t)<M`$. Using (3.5), (3.6) and (3.8) one can show that the second term in (3.4) vanishes, uniformly for $`t`$ in $`[0,2\pi ]`$. Hence $`\rho (t)g(x)_{\mathrm{}}^{\mathrm{}}\stackrel{~}{w}(u)𝑑u`$, uniformly in $`t`$.

Finally we get

$`h^{\lambda 1}`$ $`\mathrm{E}z\left({\displaystyle \frac{X_jx}{h}}\right)\stackrel{~}{w}(h^{\lambda 1}(X_jx))={\displaystyle \frac{1}{2\pi }}{\displaystyle _0^{2\pi }}z(t)\rho (t)𝑑t`$
$`{\displaystyle \frac{1}{2\pi }}{\displaystyle _0^{2\pi }}z(u)𝑑u{\displaystyle _{\mathrm{}}^{\mathrm{}}}\stackrel{~}{w}(u)𝑑ug(x),`$ (3.10)
which completes the proof of the Lemma. $`\mathrm{}`$

### 3.2 Proofs of Theorems 2.1, 2.2 and 2.3

We can derive a bound on the error in substituting $`E`$ for $`E_n`$ in the terms (2.9) and (2.10). The proof is given in Section 4.

###### Lemma 3.2.

If $`0<\lambda 2`$, as $`n\mathrm{}`$ and $`h0`$, we have almost surely

$$\left|\mathrm{E}_{E_n}\mathrm{cos}\left(\frac{\mu }{\lambda }h^{\lambda 1}E_n(X_jx)\right)\mathrm{E}_E\mathrm{cos}\left(\frac{\mu }{\lambda }h^{\lambda 1}E(X_jx)\right)\right|=O(h^\lambda )$$

and

$$\left|\mathrm{E}_{E_n}\mathrm{sin}\left(\frac{\mu }{\lambda }h^{\lambda 1}E_n(X_jx)\right)\mathrm{E}_E\mathrm{sin}\left(\frac{\mu }{\lambda }h^{\lambda 1}E(X_jx)\right)\right|=O(h^\lambda ),$$

where $`E`$ is a standard exponential random variable.

We can now approximate $`f_{nh}(x)\mathrm{E}f_{nh}(x)`$. We have

$`f_{nh}(x)\mathrm{E}f_{nh}(x)`$
$`={\displaystyle \frac{c(h)}{\pi nh}}{\displaystyle \underset{j=1}{\overset{n}{}}}\left(\mathrm{E}_S\mathrm{cos}((S/h)(X_jx))\mathrm{E}\mathrm{E}_S\mathrm{cos}((S/h)(X_jx))\right)`$
$`={\displaystyle \frac{c(h)}{\pi nh}}{\displaystyle \underset{j=1}{\overset{n}{}}}(\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_{E_n}\mathrm{cos}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E_n(X_jx)\right)`$
$`\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_{E_n}\mathrm{sin}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E_n(X_jx)\right))`$
$`\mathrm{E}\left(\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_{E_n}\mathrm{cos}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E_n(X_jx)\right)\right)`$
$`+\mathrm{E}\left(\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_{E_n}\mathrm{sin}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E_n(X_jx)\right)\right))`$
$`={\displaystyle \frac{c(h)}{\pi nh}}{\displaystyle \underset{j=1}{\overset{n}{}}}(\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_E\mathrm{cos}({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E(X_jx))`$
$`\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_E\mathrm{sin}({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E(X_jx)))`$
$`\mathrm{E}\left(\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_E\mathrm{cos}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E(X_jx)\right)\right)`$
$`+\mathrm{E}\left(\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{E}_E\mathrm{sin}({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E(X_jx))\right))`$
$`+O_P\left({\displaystyle \frac{1}{\sqrt{n}}}h^{2\lambda 1}e^{(1/h)^\lambda /\mu }\right).`$ (3.11)
The order of the remainder term follows from the fact that it is equal to an average of independent terms, each of which is equal to the sum of

$$\frac{c(h)}{\pi h}\left(\mathrm{cos}\left(\frac{X_jx}{h}\right)\mathrm{E}_{E_n}\mathrm{cos}\left(\frac{\mu }{\lambda }h^{\lambda 1}E_n(X_jx)\right)\mathrm{cos}\left(\frac{X_jx}{h}\right)\mathrm{E}_E\mathrm{cos}\left(\frac{\mu }{\lambda }h^{\lambda 1}E(X_jx)\right)\right)$$

and

$$\frac{c(h)}{\pi h}\left(\mathrm{sin}\left(\frac{X_jx}{h}\right)\mathrm{E}_{E_n}\mathrm{sin}\left(\frac{\mu }{\lambda }h^{\lambda 1}E_n(X_jx)\right)\mathrm{sin}\left(\frac{X_jx}{h}\right)\mathrm{E}_E\mathrm{sin}\left(\frac{\mu }{\lambda }h^{\lambda 1}ES(X_jx)\right)\right),$$

minus their expectations. The variances of these terms are of order $`c(h)^2O(h^{2\lambda })/(\pi ^2h^2)`$ by Lemma 3.2, which is of order $`O(h^{4\lambda 2}e^{2(1/h)^\lambda /\mu })`$ by (2.5). Hence the variance of the average is of order $`O(\frac{1}{n}h^{4\lambda 2}e^{2(1/h)^\lambda /\mu })`$, which yields the order of the remainder term (3.11) by the Markov inequality.

A straightforward computation yields

$$\mathrm{E}_E\mathrm{cos}\left(\frac{\mu }{\lambda }h^{\lambda 1}E(X_jx)\right)=\frac{\lambda ^2}{\lambda ^2+\mu ^2h^{2\lambda 2}(X_jx)^2}=w_1(h^{\lambda 1}(X_jx))$$

and

$$\mathrm{E}_E\mathrm{sin}\left(\frac{\mu }{\lambda }h^{\lambda 1}E(X_jx)\right)=\frac{\mu \lambda h^{\lambda 1}(X_jx)}{\lambda ^2+\mu ^2h^{2\lambda 2}(X_jx)^2}=w_2(h^{\lambda 1}(X_jx)),$$

where

$$w_1(u)=\frac{\lambda ^2}{\lambda ^2+\mu ^2u^2}\text{and}w_2(u)=\frac{\mu \lambda u}{\lambda ^2+\mu ^2u^2}.$$

Note that $`w_1`$ and $`w_2`$ are continuous bounded functions with $`w_1(u)^2+w_2(u)^2=w_1(u)`$. Note also that $`w_2`$ is not integrable, so we can not apply Lemma 3.1 directly for $`\stackrel{~}{w}=w_2`$. However, since $`w_2^\alpha `$ is integrable for $`\alpha >1`$, it turns out that we can circumvent this problem.

Define the random variables $`V_{nj}`$ as

$`V_{nj}`$ $`=\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)w_1(h^{\lambda 1}(X_jx))\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)w_2(h^{\lambda 1}(X_jx))`$
$`=\mathrm{cos}(Y_h)w_1(h^{\lambda 1}(X_jx))\mathrm{sin}(Y_h)w_2(h^{\lambda 1}(X_jx)).`$ (3.12)
Then

$$f_{nh}(x)\mathrm{E}f_{nh}(x)=\frac{c(h)}{\pi h}\frac{1}{n}\underset{j=1}{\overset{n}{}}(V_{n,j}\mathrm{E}V_{n,j})+O_P\left(\frac{1}{\sqrt{n}}h^{2\lambda 1}e^{(1/h)^\lambda /\mu }\right).$$
(3.13)
To prove our three theorems we will check the Lyapounov condition for $`\frac{1}{n}_{j=1}^n(V_{n,j}\mathrm{E}V_{n,j})`$ to be asymptotically normal, i.e. for some $`\delta >0`$ we have to check

$$\frac{\mathrm{E}|V_{n,j}\mathrm{E}V_{n,j}|^{2+\delta }}{n^{\delta /2}(Var(V_{n,j}))^{1+\delta /2}}0.$$
(3.14)
We will check this condition for $`\delta `$ equal to two. Note that by the inequality $`|a+b|^p2^p(|a|^p+|b|^p),p0`$ we have $`\mathrm{E}(V_{n,j}\mathrm{E}V_{n,j})^4=4(\mathrm{E}V_{n,j}^4+(\mathrm{E}V_{n,j})^4)`$.

For $`1<\lambda 2`$ the factor $`h^{\lambda 1}`$ vanishes. Hence, by Lemma 3.1, we have $`(h^{\lambda 1}X,Y_h)\stackrel{𝒟}{}(0,U)`$. Since we are dealing with bounded continuous functions of $`(h^{\lambda 1}X,Y_h)`$ we also have

$`\mathrm{E}V_{nj}`$ $`=\mathrm{E}(\mathrm{cos}(Y_h)w_1(h^{\lambda 1}(X_jx))\mathrm{sin}(Y_h)w_2(h^{\lambda 1}(X_jx)))`$
$`\mathrm{E}(\mathrm{cos}(U)w_1(0)\mathrm{sin}(U)w_2(0))=0`$
$`\mathrm{E}V_{nj}^4`$ $`=\mathrm{E}(\mathrm{cos}(Y_h)w_1(h^{\lambda 1}(X_jx))\mathrm{sin}(Y_h)w_2(h^{\lambda 1}(X_jx)))^4`$
$`\mathrm{E}(\mathrm{cos}(U)w_1(0)\mathrm{sin}(U)w_2(0))^4=\mathrm{E}\mathrm{cos}(U)^4={\displaystyle \frac{3}{8}}.`$
The asymptotic variance is given by

$$Var(V_{n,j})=\mathrm{E}V_{n,j}^2(\mathrm{E}V_{n,j})^2\mathrm{E}(\mathrm{cos}(U)w_1(0)\mathrm{sin}(U)w_2(0))^2=\mathrm{E}\mathrm{cos}(U)^2=\frac{1}{2}.$$

Let us check (3.14) with $`\delta `$ equal to two. Indeed we have

$$\frac{\mathrm{E}|V_{n,j}\mathrm{E}V_{n,j}|^4}{n(Var(V_{n,j}))^2}=\frac{O(1)}{n(\frac{1}{2}+o(1))^2}0.$$
(3.15)
This shows that $`\frac{1}{n}_{j=1}^n(V_{n,j}\mathrm{E}V_{n,j})`$ and $`\frac{c(h)}{\pi h}\frac{1}{n}_{j=1}^n(V_{n,i}\mathrm{E}V_{n,i})`$ are asymptotically normally distributed. The asymptotic variance of $`\frac{c(h)}{\pi h}\frac{1}{n}_{i=1}^n(V_{n,j}\mathrm{E}V_{n,j})`$ is given by

$$Var\left(\frac{c(h)}{\pi h}\frac{1}{n}\underset{j=1}{\overset{n}{}}(V_{n,j}\mathrm{E}V_{n,j})\right)=\frac{1}{n}\frac{c(h)^2}{\pi ^2h^2}Var(V_{n,1})\frac{1}{n}\frac{1}{2\pi ^2}\frac{\mu ^2}{\lambda ^2}h^{2\lambda 2}e^{2(1/h)^\lambda /\mu }.$$
(3.16)
by Lemma 2.1.

Now consider Cauchy deconvolution where $`\lambda `$ equals one. By Lemma 3.1, since we are dealing with bounded continuous functions of $`(X,Y_h)`$, we have

$`\mathrm{E}V_{nj}`$ $`=\mathrm{E}(\mathrm{cos}(Y_h)w_1(Xx)\mathrm{sin}(Y_h)w_2(Xx))`$
$`\mathrm{E}(\mathrm{cos}(U)w_1(Xx)\mathrm{sin}(U)w_2(Xx))=0`$
$`\mathrm{E}V_{nj}^4`$ $`=\mathrm{E}(\mathrm{cos}(Y_h)w_1(Xx)\mathrm{sin}(Y_h)w_2(Xx))^4`$
$`\mathrm{E}(\mathrm{cos}(U)w_1(Xx)\mathrm{sin}(U)w_2(Xx))^4.`$
The asymptotic variance of $`V_{n,j}`$ is given by

$`Var(V_{n,j})=\mathrm{E}V_{n,j}^2(\mathrm{E}V_{n,j})^2`$
$``$ $`\mathrm{E}(\mathrm{cos}(U)w_1(Xx)\mathrm{sin}(U)w_2(Xx))^2`$
$`=`$ $`\mathrm{E}\mathrm{cos}(U)^2\mathrm{E}w_1(Xx)^2+\mathrm{E}\mathrm{sin}(U)^2\mathrm{E}w_2(Xx)^2`$
$`=`$ $`{\displaystyle \frac{1}{2}}\mathrm{E}w_1(Xx)={\displaystyle \frac{1}{2}}{\displaystyle \frac{1}{1+\mu ^2(ux)^2}g(u)𝑑u}.`$
As above this shows that (3.14) is satisfied for $`\delta `$ equal to two. Hence $`\frac{1}{n}_{j=1}^n(V_{n,j}\mathrm{E}V_{n,j})`$ and $`\frac{c(h)}{\pi h}\frac{1}{n}_{j=1}^n(V_{n,i}\mathrm{E}V_{n,i})`$ are asymptotically normally distributed. The asymptotic variance of $`\frac{c(h)}{\pi h}\frac{1}{n}_{i=1}^n(V_{n,j}\mathrm{E}V_{n,j})`$ is given by

$`Var\left({\displaystyle \frac{c(h)}{\pi h}}{\displaystyle \frac{1}{n}}{\displaystyle \underset{j=1}{\overset{n}{}}}(V_{n,j}\mathrm{E}V_{n,j})\right)`$ (3.17)
$`=`$ $`{\displaystyle \frac{1}{n}}{\displaystyle \frac{c(h)^2}{\pi ^2h^2}}Var(V_{n,1}){\displaystyle \frac{1}{n}}e^{2/(\mu h)}{\displaystyle \frac{1}{2\pi ^2}}{\displaystyle \frac{\mu ^2}{1+\mu ^2(ux)^2}g(u)𝑑u}.`$
by Lemma 2.1.

Note that, if $`0<\lambda <1`$, the factor $`h^{\lambda 1}`$ diverges to infinity. In this case we have

$$\mathrm{E}V_{n,j}^4=\underset{l=0}{\overset{4}{}}\left(\genfrac{}{}{0pt}{}{4}{l}\right)\mathrm{E}\mathrm{cos}\left(\frac{X_jx}{h}\right)^l(1)^{4l}\mathrm{sin}\left(\frac{X_jx}{h}\right)^{4l}w_1(h^{\lambda 1}(X_jx))^lw_2(h^{\lambda 1}(X_jx))^{4l}.$$

Since, for $`l=0,1,\mathrm{},4`$, the functions $`w_1^lw_2^{4l}`$ are integrable and monotone in the tails, by Lemma 3.1 we get

$$\mathrm{E}V_{n,j}^4=O(h^{1\lambda }).$$
(3.18)
By a similar argument we have $`\mathrm{E}V_{n,j}^2=O(h^{1\lambda })`$, and hence $`(\mathrm{E}V_{n,j})^4(\mathrm{E}V_{n,j}^2)^2=O(h^{22\lambda })=O(h^{1\lambda })`$.

Next let us consider $`Var(V_{n,j})=\mathrm{E}V_{n,j}^2(\mathrm{E}V_{n,j})^2`$. Using the inequality above for $`p=3/2`$, the fact that $`w_2^{3/2}`$ is integrable, and Lemma 3.1, we get $`\mathrm{E}|V_{n,j}|^{3/2}=O(h^{1\lambda })`$. By the Jensen inequality we have $`|\mathrm{E}V_{n,j}|^{3/2}(\mathrm{E}|V_{n,j}|)^{3/2}\mathrm{E}|V_{n,j}|^{3/2}`$, and so $`(\mathrm{E}V_{n,j})^2((\mathrm{E}|V_{n,j}|^{3/2})^{2/3})^2=O(h^{(4/3)(1\lambda }))`$. Moreover, by (3.2) we get

$$\mathrm{E}(\mathrm{cos}\left(\frac{X_jx}{h}\right)^2w_1(h^{\lambda 1}(X_jx))^2=\frac{1}{2}h^{1\lambda }w_1(u)^2dug(x)+o(h^{1\lambda }).$$

Similarly we have

$$\mathrm{E}(\mathrm{sin}\left(\frac{X_jx}{h}\right)^2w_2(h^{\lambda 1}(X_jx))^2=\frac{1}{2}h^{1\lambda }w_2(u)^2dug(x)+o(h^{1\lambda }).$$

and

$`h^{\lambda 1}\mathrm{E}\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)w_1(h^{\lambda 1}(X_jx))w_2(h^{\lambda 1}(X_jx))`$
$`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle _0^{2\pi }}\mathrm{sin}(u)\mathrm{cos}(u)𝑑u{\displaystyle w_1(u)w_2(u)𝑑ug(x)}+o(h^{1\lambda })=o(h^{1\lambda }).`$
Hence

$`\mathrm{E}V_{n,j}^2=\mathrm{E}\left(\mathrm{cos}\left({\displaystyle \frac{X_jx}{h}}\right)w_1(h^{\lambda 1}(X_jx))\mathrm{sin}\left({\displaystyle \frac{X_jx}{h}}\right)w_2(h^{\lambda 1}(X_jx))\right)^2`$
$`=`$ $`{\displaystyle \frac{1}{2}}h^{1\lambda }{\displaystyle (w_1^2(u)+w_1^2(u))𝑑ug(x)}+o(h^{1\lambda })={\displaystyle \frac{1}{2}}h^{1\lambda }{\displaystyle w_1(u)𝑑ug(x)}+o(h^{1\lambda })`$
$`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \frac{\lambda }{\mu }}\pi h^{1\lambda }g(x)+o(h^{1\lambda }),`$
and

$$Var(V_{n,j})=\frac{1}{2}\frac{\lambda }{\mu }\pi h^{1\lambda }g(x)+o(h^{1\lambda })+O(h^{(4/3)(1\lambda }))=\frac{1}{2}\frac{\lambda }{\mu }\pi h^{1\lambda }g(x)+o(h^{1\lambda }).$$
(3.19)
Finally we check (3.14) with $`\delta `$ equal to two. Indeed we have

$$\frac{\mathrm{E}|V_{n,j}\mathrm{E}V_{n,j}|^4}{nVar(V_{n,j}))^2}=\frac{O(h^{1\lambda })}{n(\frac{1}{2}\frac{\lambda }{\mu }\pi h^{1\lambda }g(x)+o(h^{1\lambda }))^2}=O\left(\frac{h^\lambda }{nh}\right)0.$$
(3.20)
This shows that $`\frac{1}{n}_{j=1}^n(V_{n,j}\mathrm{E}V_{n,j})`$ and $`\frac{c(h)}{\pi h}\frac{1}{n}_{j=1}^n(V_{n,i}\mathrm{E}V_{n,i})`$ are asymptotically normally distributed. The asymptotic variance of $`\frac{c(h)}{\pi h}\frac{1}{n}_{i=1}^n(V_{n,j}\mathrm{E}V_{n,j})`$ is given by

$`Var\left({\displaystyle \frac{c(h)}{\pi h}}{\displaystyle \frac{1}{n}}{\displaystyle \underset{j=1}{\overset{n}{}}}(V_{n,j}\mathrm{E}V_{n,j})\right)={\displaystyle \frac{1}{n}}{\displaystyle \frac{c(h)^2}{\pi ^2h^2}}Var(V_{n,1})`$
$``$ $`{\displaystyle \frac{1}{n}}{\displaystyle \frac{\mu ^2h^{2\lambda }}{\pi ^2\lambda ^2h^2}}e^{2(1/h)^\lambda /\mu }{\displaystyle \frac{1}{2}}{\displaystyle \frac{\lambda }{\mu }}\pi h^{1\lambda }g(x)={\displaystyle \frac{1}{2\pi }}{\displaystyle \frac{\mu }{\lambda }}{\displaystyle \frac{1}{n}}h^{\lambda 1}e^{2(1/h)^\lambda /\mu }g(x).`$
by Lemma 2.1 and (3.19).

It is easy to check that in all three cases the approximation error (3.11) is of smaller order than the asymptotic standard deviation in the theorems, provided $`\lambda >1/3`$. Hence this error is indeed negligible. $`\mathrm{}`$

## 4 Proofs of the lemmas

### 4.1 Proof of Lemma 2.1

Note that, for $`m=0,1,\mathrm{}`$, and any $`0<ϵ<1`$,

$$_0^ϵs^me^{(s/h)^\lambda /\mu }𝑑s=O(e^{(ϵ/h)^\lambda /\mu })=o(h^{3\lambda }e^{(1/h)^\lambda /\mu }).$$

The exponent $`3\lambda `$ is fairly arbitrary but it suffices for our purposes. By Lemma 3.5 of Van Es and Uh (2001) we have

$$_ϵ^1s^{m2\lambda }e^{(s/h)^\lambda /\mu }𝑑s=\frac{\mu }{\lambda }h^\lambda e^{(s/h)^\lambda /\mu }+o(h^\lambda e^{(s/h)^\lambda /\mu }).$$

By applying integration by parts twice we get, for $`0<ϵ<1`$,

$`{\displaystyle _ϵ^1}s^me^{(s/h)^\lambda /\mu }𝑑s={\displaystyle \frac{\mu }{\lambda }}h^\lambda {\displaystyle _ϵ^1}s^{m\lambda +1}\left({\displaystyle \frac{\lambda }{\mu }}{\displaystyle \frac{1}{h^\lambda }}s^{\lambda 1}e^{(s/h)^\lambda /\mu }\right)𝑑s`$
$`=`$ $`{\displaystyle \frac{\mu }{\lambda }}h^\lambda \left(\left[s^{m\lambda +1}e^{(s/h)^\lambda /\mu }\right]_ϵ^1(m\lambda +1){\displaystyle _ϵ^1}s^{m\lambda }e^{(s/h)^\lambda /\mu }𝑑s\right)`$
$`=`$ $`{\displaystyle \frac{\mu }{\lambda }}h^\lambda (\left[s^{m\lambda +1}e^{(s/h)^\lambda /\mu }\right]_ϵ^1(m\lambda +1)({\displaystyle \frac{\mu }{\lambda }}h^\lambda (\left[s^{m2\lambda +1}e^{(s/h)^\lambda /\mu }\right]_ϵ^1`$
$`(m2\lambda +1){\displaystyle _ϵ^1}s^{m2\lambda }e^{(s/h)^\lambda /\mu }ds)))`$
$`=`$ $`{\displaystyle \frac{\mu }{\lambda }}h^\lambda e^{(1/h)^\lambda /\mu }{\displaystyle \frac{\mu ^2}{\lambda ^2}}(m\lambda +1)h^{2\lambda }e^{(1/h)^\lambda /\mu }`$
$`+{\displaystyle \frac{\mu ^3}{\lambda ^3}}(m\lambda +1)(m2\lambda +1)h^{3\lambda }e^{(1/h)^\lambda /\mu }+o(h^{3\lambda }e^{(1/h)^\lambda /\mu }).`$
Hence

$`{\displaystyle _0^1}s^me^{(s/h)^\lambda /\mu }𝑑s={\displaystyle \frac{\mu }{\lambda }}h^\lambda e^{(1/h)^\lambda /\mu }{\displaystyle \frac{\mu ^2}{\lambda ^2}}(m\lambda +1)h^{2\lambda }e^{(1/h)^\lambda /\mu }`$ (4.1)
$`+{\displaystyle \frac{\mu ^3}{\lambda ^3}}(m\lambda +1)(m2\lambda +1)h^{3\lambda }e^{(1/h)^\lambda /\mu }+o(h^{3\lambda }e^{(1/h)^\lambda /\mu }).`$
This expansion is used repeatedly in the remainder of the proof.

For $`m=0`$ we get

$`c(h)={\displaystyle _0^1}e^{(s/h)^\lambda /\mu }𝑑s={\displaystyle \frac{\mu }{\lambda }}h^\lambda e^{(1/h)^\lambda /\mu }+{\displaystyle \frac{\mu ^2}{\lambda ^2}}(\lambda 1)h^{2\lambda }e^{(1/h)^\lambda /\mu }`$ (4.2)
$`+{\displaystyle \frac{\mu ^3}{\lambda ^3}}(1\lambda )(12\lambda )h^{3\lambda }e^{(1/h)^\lambda /\mu }+o(h^{3\lambda }e^{(1/h)^\lambda /\mu }),`$
which proves (2.5).

Furthermore, using $`(1+x)^1=1x+x^2+o(x^2)`$ for $`x0`$, we have

$`{\displaystyle \frac{1}{c(h)}}={\displaystyle \frac{\lambda }{\mu }}h^\lambda e^{(1/h)^\lambda /\mu }(1+{\displaystyle \frac{\mu }{\lambda }}(\lambda 1)h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(1\lambda )(12\lambda )h^{2\lambda }+o(h^{2\lambda })^1`$ (4.3)
$`=`$ $`{\displaystyle \frac{\lambda }{\mu }}h^\lambda e^{(1/h)^\lambda /\mu }(1{\displaystyle \frac{\mu }{\lambda }}(\lambda 1)h^\lambda {\displaystyle \frac{\mu ^2}{\lambda ^2}}(1\lambda )(12\lambda )h^{2\lambda }`$
$`+({\displaystyle \frac{\mu }{\lambda }}(\lambda 1)h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(1\lambda )(12\lambda )h^{2\lambda })^2+o(h^{2\lambda }))`$
$`=`$ $`{\displaystyle \frac{\lambda }{\mu }}h^\lambda e^{(1/h)^\lambda /\mu }\left(1{\displaystyle \frac{\mu }{\lambda }}(\lambda 1)h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(\lambda \lambda ^2)h^{2\lambda }+o(h^{2\lambda })\right).`$
Hence, by (4.1) for $`m=1`$ and (4.3),

$`\mathrm{E}S={\displaystyle \frac{1}{c(h)}}{\displaystyle _0^1}se^{(s/h)^\lambda /\mu }𝑑s`$ (4.4)
$`=`$ $`(1{\displaystyle \frac{\mu }{\lambda }}(\lambda 1)h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(\lambda \lambda ^2)h^{2\lambda }+o(h^{2\lambda }))(1{\displaystyle \frac{\mu }{\lambda }}(2\lambda )h^\lambda `$
$`+{\displaystyle \frac{\mu ^2}{\lambda ^2}}(2\lambda )(22\lambda )h^{2\lambda }+o(h^\lambda ))`$
$`=`$ $`1{\displaystyle \frac{\mu }{\lambda }}h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(22\lambda )h^{2\lambda }+o(h^{2\lambda }),`$
which proves (2.6).

Similarly, by (4.1) for $`m=2`$ and (4.3),

$`\mathrm{E}S^2={\displaystyle \frac{1}{c(h)}}{\displaystyle _0^1}s^2e^{(s/h)^\lambda /\mu }𝑑s`$ (4.5)
$`=`$ $`\left(1{\displaystyle \frac{\mu }{\lambda }}(\lambda 1)h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(\lambda \lambda ^2)h^{2\lambda }+o(h^{2\lambda })\right)`$
$`\left(1{\displaystyle \frac{\mu }{\lambda }}(3\lambda )h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(3\lambda )(32\lambda )h^{2\lambda }+o(h^{2\lambda })\right)`$
$`=`$ $`12{\displaystyle \frac{\mu }{\lambda }}h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(64\lambda )h^{2\lambda }+o(h^{2\lambda }).`$
Finally, by (4.4) and (4.5) we get

$`VarS=\mathrm{E}S^2(\mathrm{E}S)^2`$
$`=`$ $`12{\displaystyle \frac{\mu }{\lambda }}h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(64\lambda )h^{2\lambda }+o(h^{2\lambda })\left(1{\displaystyle \frac{\mu }{\lambda }}h^\lambda +{\displaystyle \frac{\mu ^2}{\lambda ^2}}(22\lambda )h^{2\lambda }+o(h^{2\lambda })\right)^2`$
$`=`$ $`1{\displaystyle \frac{\mu ^2}{\lambda ^2}}h^{2\lambda }+o(h^{2\lambda }),`$
which proves (2.7). $`\mathrm{}`$

### 4.2 Proof of Lemma 3.2

Let $`ϵ_n=h^{\lambda /2}/\mathrm{log}h`$ denote a sequence of positive (for $`h<1`$) numbers converging to zero. Note that for $`|t|`$ small enough we have

$$\left|\frac{1}{t}\left((1+t)^\lambda 1\right)\lambda \right|\lambda |\lambda 1||t|.$$

With $`t=\mu h^\lambda v/\lambda `$, for $`ϵ_n\lambda h^\lambda /\mu v0`$, we have $`ϵ_nt0`$, and for $`n`$ large enough

$$\left|\frac{\lambda }{\mu }\frac{1}{h^\lambda v}\left(\left(1+\frac{\mu }{\lambda }h^\lambda v\right)^\lambda 1\right)\lambda \right|\lambda |\lambda 1|\frac{\mu }{\lambda }h^\lambda |v|,$$

and

$`|{\displaystyle \frac{1}{\mu }}`$ $`{\displaystyle \frac{1}{h^\lambda }}((1+{\displaystyle \frac{\mu }{\lambda }}h^\lambda v)^\lambda 1)v||\lambda 1|{\displaystyle \frac{\mu }{\lambda }}h^\lambda v^2`$
$`|\lambda 1|{\displaystyle \frac{\lambda }{\mu }}h^\lambda ϵ_n^2=o(1).`$
This implies that for these values of $`v`$, and $`n`$ large enough,

$`|f_{E_n}(v)e^v1|`$
$`=`$ $`\left|{\displaystyle \frac{\mu }{\lambda }}{\displaystyle \frac{h^\lambda }{c(h)}}e^{1/(\mu h^\lambda )}\mathrm{exp}\left({\displaystyle \frac{1}{\mu }}{\displaystyle \frac{1}{h^\lambda }}\left(\left(1+{\displaystyle \frac{\mu }{\lambda }}h^\lambda v\right)^\lambda 1\right)v\right)1\right|`$
$``$ $`{\displaystyle \frac{\mu }{\lambda }}{\displaystyle \frac{h^\lambda }{c(h)}}e^{1/(\mu h^\lambda )}\left|\mathrm{exp}\left({\displaystyle \frac{1}{\mu }}{\displaystyle \frac{1}{h^\lambda }}\left(\left(1+{\displaystyle \frac{\mu }{\lambda }}h^\lambda v\right)^\lambda 1\right)v\right)1\right|`$
$`+|1{\displaystyle \frac{\mu }{\lambda }}{\displaystyle \frac{h^\lambda }{c(h)}}e^{1/(\mu h^\lambda )}|`$
$``$ $`2{\displaystyle \frac{\mu }{\lambda }}{\displaystyle \frac{h^\lambda }{c(h)}}e^{1/(\mu h^\lambda )}\left|{\displaystyle \frac{1}{\mu }}{\displaystyle \frac{1}{h^\lambda }}\left(\left(1+{\displaystyle \frac{\mu }{\lambda }}h^\lambda v\right)^\lambda 1\right)v\right|+O(h^\lambda )`$
$``$ $`2{\displaystyle \frac{\mu }{\lambda }}{\displaystyle \frac{h^\lambda }{c(h)}}e^{1/(\mu h^\lambda )}|\lambda 1|{\displaystyle \frac{\mu }{\lambda }}h^\lambda v^2+O(h^\lambda )`$
$``$ $`3{\displaystyle \frac{\mu }{\lambda }}h^\lambda v^2+O(h^\lambda ),`$
where the remainder terms do not depend on $`v`$.

Now note that

$$_{(\lambda /\mu )h^\lambda }^{ϵ_n(\lambda /\mu )h^\lambda }|f_{E_n}(v)e^v|𝑑v_{(\lambda /\mu )h^\lambda }^{ϵ_n(\lambda /\mu )h^\lambda }f_{E_n}(v)𝑑v+e^{ϵ_n(\lambda /\mu )h^\lambda }$$

and, by Lemma 2.1, using $`(1+s)^\lambda 1(\lambda 1)s`$ for $`1s0`$,

$`{\displaystyle _{(\lambda /\mu )h^\lambda }^{ϵ_n(\lambda /\mu )h^\lambda }}f_{E_n}(v)𝑑v={\displaystyle \frac{\mu }{\lambda }}{\displaystyle \frac{h^\lambda e^{1/(\mu h^\lambda )}}{c(h)}}{\displaystyle _{(\lambda /\mu )h^\lambda }^{ϵ_n(\lambda /\mu )h^\lambda }}e^{1/(\mu h^\lambda )((1+(\mu /\lambda )h^\lambda v)^\lambda 1)}𝑑v`$
$`=`$ $`{\displaystyle \frac{\lambda }{\mu }}h^\lambda (1+o(1)){\displaystyle _1^{ϵ_n}}e^{1/(\mu h^\lambda )((1+s)^\lambda 1)}𝑑s{\displaystyle \frac{\lambda }{\mu }}h^\lambda (1+o(1)){\displaystyle _1^{ϵ_n}}e^{1/(\mu h^\lambda )(\lambda 1)s}𝑑s`$
$``$ $`{\displaystyle \frac{\lambda }{\lambda 1}}(1+o(1))e^{ϵ_n(\lambda /\mu )(\lambda 1)h^\lambda }=O(h^\lambda ).`$
Because the absolute value of the cosine is bounded by one we get

$`|\mathrm{E}_{E_n}`$ $`\mathrm{cos}\left({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E_n(X_jx)\right)\mathrm{E}_E\mathrm{cos}({\displaystyle \frac{\mu }{\lambda }}h^{\lambda 1}E(X_jx))|`$
$`{\displaystyle |f_{E_n}(v)e^vI_{(\mathrm{},0]}(v)|𝑑v}`$
$`={\displaystyle _{(\lambda /\mu )h^\lambda }^0}|f_{E_n}(v)e^v|𝑑v+{\displaystyle _{\mathrm{}}^{(\lambda /\mu )h^\lambda }}e^v𝑑v`$
$`={\displaystyle _{ϵ_n(\lambda /\mu )h^\lambda }^0}|f_{E_n}(v)e^v1|e^v𝑑v+{\displaystyle _{(\lambda /\mu )h^\lambda }^{ϵ_n(\lambda /\mu )h^\lambda }}|f_{E_n}(v)e^v|𝑑v+e^{(\lambda /\mu )h^\lambda }`$
$`{\displaystyle _{ϵ_n(\lambda /\mu )h^\lambda }^0}\left({\displaystyle \frac{3\mu }{\lambda }}h^\lambda v^2+O(h^\lambda )\right)e^v𝑑v+O(h^\lambda )=O(h^\lambda ),`$
which proves the first statement of the lemma.

The second statement can be proved similarly. $`\mathrm{}`$

Acknowledgment The research of the second author has been financed by the Netherlands Organization for the Advancement of Scientific Research (NWO).

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