Deriving the asymptotic distribution of U- and V-statistics of dependent data using weighted empirical processes

DOI10.3150/11-BEJ358zbMATH Open1452.62190arXiv1207.5899OpenAlexW2054221867MaRDI QIDQ442076FDOQ442076

Authors: Eric Beutner, Henryk Zähle 

Publication date: 9 August 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: It is commonly acknowledged that V-functionals with an unbounded kernel are not Hadamard differentiable and that therefore the asymptotic distribution of U- and V-statistics with an unbounded kernel cannot be derived by the Functional Delta Method (FDM). However, in this article we show that V-functionals are quasi-Hadamard differentiable and that therefore a modified version of the FDM (introduced recently in (J. Multivariate Anal. 101 (2010) 2452--2463)) can be applied to this problem. The modified FDM requires weak convergence of a weighted version of the underlying empirical process. The latter is not problematic since there exist several results on weighted empirical processes in the literature; see, for example, (J. Econometrics 130 (2006) 307--335, Ann. Probab. 24 (1996) 2098--2127, Empirical Processes with Applications to Statistics (1986) Wiley, Statist. Sinica 18 (2008) 313--333). The modified FDM approach has the advantage that it is very flexible w.r.t. both the underlying data and the estimator of the unknown distribution function. Both will be demonstrated by various examples. In particular, we will show that our FDM approach covers mainly all the results known in literature for the asymptotic distribution of U- and V-statistics based on dependent data -- and our assumptions are by tendency even weaker. Moreover, using our FDM approach we extend these results to dependence concepts that are not covered by the existing literature.

Full work available at URL: https://arxiv.org/abs/1207.5899

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zbMATH Keywords

Jordan decompositionweak dependencequasi-Hadamard differentiabilityweighted empirical processfunctional delta methodstationary sequence of random variablesU- and V-statistic

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

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Cited In (21)

• Approximating class approach for empirical processes of dependent sequences indexed by functions
• Limit theorems for \(U\)-statistics of Bernoulli data
• Donsker results for the empirical process indexed by functions of locally bounded variation and applications to the smoothed empirical process
• Rank-based change-point analysis for long-range dependent time series
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• Continuous mapping approach to the asymptotics of \(U\)- and \(V\)-statistics
• On limiting distribution of U-statistics based on associated random variables
• New measure of the bivariate asymmetry
• Kaplan-Meier V- and U-statistics
• Exponential inequalities for dependent V-statistics via random Fourier features

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