On the estimation of multiple random integrals and U-statistics
On the estimation of multiple random integrals and \(U\)-statistics
This work focuses on the limit problems of nonlinear functionals of a sequence of independent random variables. To deal with this problem, the author discusses the theory of multiple random integrals and their most important properties together with the properties of the so-called (degenerate) \(U\)-statistics. The investigation of multiple random (Weiner-Itō) integrals and \(U\)-statistics are closely related. The behaviour of multiple Gaussian integrals is fairly well understood and it suggests that the tail distribution of a \(k\)-fold random integral with respect to a normalized empirical measure should satisfy such estimates as the tail distribution of the \(k\)-th power of a Gaussian random variable with expectation zero and appropriate variance. Beside this, if we consider the supremum of multiple random integrals of a class of functions with respect to a normalized empirical measure or with respect to a Gaussian random measure, then we expect that under not too restrictive conditions this supremum is not much larger than the ``worst random integral with the largest variance taking part in this supremum. If the variance of multiple integral with respect to a normalized empirical measure is very small the behaviour of this integral is different from that of a multiple Gaussian integral with the same kernel function. In this case, the effect of some irregularities of the normalized empirical distribution turns out to be non-negligible, and no good Gaussian approximation holds any longer. The hardest problems discussed in this work are related to this phenomenon. This work contains some new results, and also the proof of some already rather classical theorems is presented. The results about Gaussian random variables and their nonlinear functionals, in particular multiple integrals with respect to Gaussian field, have the most important role in the study of the present work. Hence, they are discussed in detail together with some of their counterparts about multiple random integrals with respect to a normalized empirical measure and some results about \(U\)-statistics. Finally, the last chapter contains the complete reference list.
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- scientific article; zbMATH DE number 5880983
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