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

DOI10.1090/S0002-9939-97-03574-0zbMATH Open0867.60025OpenAlexW1584137068MaRDI QIDQ4333030FDOQ4333030

Authors: 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

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zbMATH Keywords

\(U\)-statisticsmartingalesasymptotic expansionsstopping timesdecouplingmartingale inequalitiesHoeffding decompositionnonlinear renewal theoryWald's equationsequential samples

Mathematics Subject Classification ID

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

Cites Work

• Sequential analysis. Tests and confidence intervals
• A Class of Statistics with Asymptotically Normal Distribution
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• A method of approximating expectations of functions of sums of independent random variables
• Second order approximations for sequential point and interval estimation
• Convergence rates for U-statistics and related statistics
• The Theory of Unbiased Estimation
• A nonlinear renewal theory with applications to sequential analysis. I
• Asymptotic expansions for the moments of a randomly stopped average
• Wald's equation for a class of denormalized \(U\)-statistics
• Estimation Following Sequential Tests
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Cited In (7)

• Moments of randomly stopped \(U\)-statistics
• Wald's equation for a class of denormalized \(U\)-statistics
• Decoupling and domination inequalities with application to Wald's identity for martingales
• Asymptotic results for stopping times based on u-statistics
• Title not available (Why is that?)
• On Wald's equation for \(U\)-statistical sums
• \(L_ p\) convergence of reciprocals of sample means with applications to sequential estimation in linear regression

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