On Wald's equation for \(U\)-statistical sums (Q1962134): Difference between revisions

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.