Asymptotic normality of quadratic estimators

DOI10.1016/J.SPA.2016.04.005zbMATH Open1348.62170arXiv1512.02280OpenAlexW2964292389WikidataQ39019288 ScholiaQ39019288MaRDI QIDQ335648FDOQ335648

Authors: Lingling Li, Eric J. Tchetgen Tchetgen, James Robins, Aad van der Vaart 

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We prove conditional asymptotic normality of a class of quadratic U-statistics that are dominated by their degenerate second order part and have kernels that change with the number of observations. These statistics arise in the construction of estimators in high-dimensional semi- and non-parametric models, and in the construction of nonparametric confidence sets. This is illustrated by estimation of the integral of a square of a density or regression function, and estimation of the mean response with missing data. We show that estimators are asymptotically normal even in the case that the rate is slower than the square root of the observations.

Full work available at URL: https://arxiv.org/abs/1512.02280

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zbMATH Keywords

rate of convergenceU-statisticprojection estimatorquadratic functional

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

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Cited In (13)

• An Alternative Derivation of Asymptotic Normality for Sample Quantiles
• Title not available (Why is that?)
• Asymptotic distributions for quadratic forms with applications to censored data tests of fit
• Chi-squared test for hypothesis testing of homogeneity
• Dimension-agnostic inference using cross U-statistics
• Estimation of smooth functionals of location parameter in Gaussian and Poincaré random shift models.
• Estimation of the confidence limits for the quadratic forms in normal variables using a simple Gaussian distribution approximation
• Second order concentration via logarithmic Sobolev inequalities
• Asymptotic normality of least-squares estimators of tail indices
• Estimation of smooth functionals in normal models: bias reduction and asymptotic efficiency
• Functional convergence of sequential \(U\)-processes with size-dependent kernels
• Approximate Normality of Generalized Least Squares Estimates
• Estimation of smooth functionals in high-dimensional models: bootstrap chains and Gaussian approximation

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