On Wald's equation for \(U\)-statistical sums (Q1962134): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(4 intermediate revisions by 3 users not shown) | |||
Property / author | |||
Property / author: Yuri V. Borovskikh / rank | |||
Property / author | |||
Property / author: Neville C. Weber / rank | |||
Property / author | |||
Property / author: Yuri V. Borovskikh / rank | |||
Normal rank | |||
Property / author | |||
Property / author: Neville C. Weber / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Extrapolation and interpolation of quasi-linear operators on martingales / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4040465 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Wald's equation for a class of denormalized \(U\)-statistics / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5641856 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: On the integrability of the martingale square function / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Wald’s equation and asymptotic bias of randomly stopped 𝑈-statistics / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Moments of randomly stopped \(U\)-statistics / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3918379 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5812325 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A best possible improvement of Wald's equation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Moments of randomly stopped sums -- revisited / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3687444 / rank | |||
Normal rank | |||
links / mardi / name | links / mardi / name | ||
Revision as of 12:30, 29 May 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On Wald's equation for \(U\)-statistical sums |
scientific article |
Statements
On Wald's equation for \(U\)-statistical sums (English)
0 references
1 March 2001
0 references
Let \(X_1,X_2,\ldots ,X_n\) be i.i.d. random variables taking values in some measurable space and \( {\mathcal F}_n\) be the \(\sigma\)-algebra generated by \(X_1,X_2,\ldots ,X_n\). Denote by \(\tau\) a stopping time adapted to \(\{{\mathcal F}_n\}\). The de-normalized \(U\)-statistics \[ U_n=\sum_{1\leq i_1<\ldots <i_m\leq n}\Phi(X_{i_1},\ldots, X_{i_m}) \] with a symmetric real-valued kernel having the degeneracy property \[ E (\Phi(X_1,\ldots , X_m)\mid {\mathcal F}_{m-1})=0 \quad \text{ a.s.} \] and \(E \Phi (X_1)=0\) for \(m=1\) are considered. Under the condition \(E e^{a\tau}<\infty \) and some moment condition on \(\Phi \), the Wald's equation \[ E \Biggl(\sum_{1\leq i_1<\ldots <i_m\leq \tau}\Phi(X_{i_1},\ldots, X_{i_m})\Biggr)=0 \] is proved.
0 references
Wald's equation
0 references
stopping times
0 references
\(U\)-statistics
0 references
martingale inequalities
0 references