Bivariate symmetric statistics of long-range dependent observations (Q1176759): Difference between revisions

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Latest revision as of 09:59, 15 May 2024

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Bivariate symmetric statistics of long-range dependent observations
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    Bivariate symmetric statistics of long-range dependent observations (English)
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    25 June 1992
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    For a stationary, mean-zero Gaussian sequence \(\{X_ i\}_ 1^ \infty\) with long-range dependence, i.e. with covariance \(r(k)=EX_ 1X_{k+1}\), satisfying \(r(0)=1\); \(r(k)=k^{-D}L(k)\), \(0<D<1\), where \(L\) is slowly varying at infinity and positive for all large \(k\), and \(Y_ j=G(X_ j)\), the \(U\)-statistic \[ U_ N(h)=\sum_{{1\leq j_ 1,j_ 2\leq N}\atop{j_ 1\neq j_ 2}}h(Y_{j_ 1},Y_{j_ 2}) \] and the von Mises statistic \[ V_ N(h)=\sum_{j_ 1=1}^ N\sum_{j_ 2=1}^ Nh(Y_{j_ 1},Y_{j_ 2}) \] are considered. The asymptotic distributions of these statistics are considered under regularity conditions on \(h\) relaxed to ``locally bounded total variation''.
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    stationary mean-zero Gaussian sequence
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    long-range dependence
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    slowly varying at infinity
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    U-statistic
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    von Mises statistic
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    locally bounded total variation
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    sample variance
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    goodness of fit
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    chi-squared test
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    Cramer-von Mises-Smirnov test
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    multiple integration
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    Hoeffding decomposition
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    fractional Brownian motion
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    Rosenblatt process
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