Wald’s equation and asymptotic bias of randomly stopped 𝑈-statistics

DOI10.1090/S0002-9939-97-03574-0zbMath0867.60025OpenAlexW1584137068MaRDI QIDQ4333030

Victor H. de la Peña, Tze Leung Lai

Publication date: 19 February 1997

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0002-9939-97-03574-0

zbMATH Keywords

martingalesasymptotic expansions\(U\)-statisticsdecouplingstopping timesmartingale inequalitiesHoeffding decompositionnonlinear renewal theoryWald's equationsequential samples

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Sequential estimation (62L12)

Related Items (4)

Decoupling and domination inequalities with application to Wald's identity for martingales ⋮ \(L_ p\) convergence of reciprocals of sample means with applications to sequential estimation in linear regression ⋮ Moments of randomly stopped \(U\)-statistics ⋮ On Wald's equation for \(U\)-statistical sums

Cites Work

• Wald's equation for a class of denormalized \(U\)-statistics
• Sequential analysis. Tests and confidence intervals
• A method of approximating expectations of functions of sums of independent random variables
• Convergence rates for U-statistics and related statistics
• Second order approximations for sequential point and interval estimation
• A nonlinear renewal theory with applications to sequential analysis. I
• Asymptotic expansions for the moments of a randomly stopped average
• Estimation Following Sequential Tests
• A Class of Statistics with Asymptotically Normal Distribution
• The Theory of Unbiased Estimation
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