Hoeffding-ANOVA decompositions for symmetric statistics of exchangeable observations.

DOI10.1214/009117904000000405zbMATH Open1055.62060arXivmath/0410098OpenAlexW3102385416MaRDI QIDQ1878982FDOQ1878982

Authors: Giovanni Peccati 

Publication date: 15 September 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Consider a (possibly infinite) exchangeable sequence X={X_n:1leqn<N}, where Nin Ncup {infty}, with values in a Borel space (A,A), and note X_n=(X_1,...,X_n). We say that X is Hoeffding decomposable if, for each n, every square integrable, centered and symmetric statistic based on X_n can be written as an orthogonal sum of n U-statistics with degenerated and symmetric kernels of increasing order. The only two examples of Hoeffding decomposable sequences studied in the literature are i.i.d. random variables and extractions without replacement from a finite population. In the first part of the paper we establish a necessary and sufficient condition for an exchangeable sequence to be Hoeffding decomposable, that is, called weak independence. We show that not every exchangeable sequence is weakly independent, and, therefore, that not every exchangeable sequence is Hoeffding decomposable. In the second part we apply our results to a class of exchangeable and weakly independent random vectors X_n^{(alpha, c)}=(X_1^{(alpha, c)},...,X_n^{(alpha, c)}) whose law is characterized by a positive and finite measure alpha (cdot) on A and by a real constant c. For instance, if c=0, X_n^{(alpha, c)} is a vector of i.i.d. random variables with law alpha (cdot)/alpha (A); if A is finite, alpha (cdot) is integer valued and c=-1, X_n^{(alpha, c)} represents the first n extractions without replacement from a finite population; if c>0, X_n^{(alpha, c)} consists of the first n instants of a generalized P'olya urn sequence.

Full work available at URL: https://arxiv.org/abs/math/0410098

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zbMATH Keywords

weak independenceurn sequencesHoeffding-ANOVA decompositionsgeneralized Pólya urn sequences

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Nonparametric inference (62G99) Exchangeability for stochastic processes (60G09)

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Cited In (8)

• On normal approximations to \(U\)-statistics
• An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications
• Exchangeable Hoeffding decompositions over finite sets: a combinatorial characterization and counterexamples
• Multiple integral representation for functionals of Dirichlet processes
• Hoeffding decompositions for exchangeable sequences and chaotic representation of functionals of Dirichlet processes.
• On the rate of convergence in de Finetti's representation theorem
• Hoeffding decompositions and urn sequences
• Anticoncentration and Berry-Esseen bounds for random tensors

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