Multivariate generalized linear-statistics of short range dependent data
From MaRDI portal
Publication:259201
DOI10.1214/16-EJS1124zbMATH Open1332.62158arXiv1412.0379OpenAlexW2963810335MaRDI QIDQ259201FDOQ259201
Svenja Fischer, Martin Wendler, Roland Fried
Publication date: 11 March 2016
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: Generalized linear (GL-) statistics are defined as functionals of an U-quantile process and unify different classes of statistics such as U-statistics and L-statistics. We derive a central limit theorem for GL-statistics of strongly mixing sequences and arbitrary dimension of the underlying kernel. For this purpose we establish a limit theorem for U-statistics and an invariance principle for U-processes together with a convergence rate for the remaining term of the Bahadur representation. An application is given by the generalized median estimator for the tail-parameter of the Pareto distribution, which is commonly used to model exceedances of high thresholds. We use subsampling to calculate confidence intervals and investigate its behaviour under independence and strong mixing in simulations.
Full work available at URL: https://arxiv.org/abs/1412.0379
Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)
Cites Work
- Approximation Theorems of Mathematical Statistics
- A Note on Quantiles in Large Samples
- Some Limit Theorems for Stationary Processes
- Title not available (Why is that?)
- A Class of Statistics with Asymptotically Normal Distribution
- Convergence of stochastic processes
- Title not available (Why is that?)
- A robust estimator for the tail index of Pareto-type distributions
- Large sample confidence regions based on subsamples under minimal assumptions
- Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
- Long-Memory Processes
- Rigorous statistical procedures for data from dynamical systems
- A Berry-Esseen theorem for sample quantiles under weak dependence
- Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
- A general moment inequality for the maximum of the rectangular partial sums of multiple series
- The almost sure invariance principle for the empirical process of U- statistic structure
- Generalized order statistics, Bahadur representations, and sequential nonparametric fixed-width confidence intervals
- On deviations between empirical and quantile processes for mixing random variables
- The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
- Efficient computation of generalized median estimators
- Studentized \(U\)-quantile processes under dependence with applications to change-point analysis
- The Bahadur representation for sample quantiles under weak dependence
- Limit theorems for functionals of mixing processes with applications to \(U\)-statistics and dimension estimation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Limiting behavior of U-statistics for stationary, absolutely regular processes
- Bahadur representation for \(U\)-quantiles of dependent data
- A New Proof of the Bahadur Representation of Quantiles and an Application
- Efficient and Robust Fitting of Lognormal Distributions
- Robust estimation of tail parameters for two-parameter Pareto and exponential models via generalized quantile statistics
- Evaluation for moments of a ratio with application to regression estimation
- Generalized L-, M-, and R-statistics
Cited In (1)
Uses Software
This page was built for publication: Multivariate generalized linear-statistics of short range dependent data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q259201)
