U-processes, U-quantile processes and generalized linear statistics of dependent data

DOI10.1016/J.SPA.2011.11.010zbMATH Open1236.62041arXiv1009.5337OpenAlexW2963532117MaRDI QIDQ765877FDOQ765877

Martin Wendler

Publication date: 22 March 2012

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

Abstract: Generalized linear statistics are an unifying class that contains U-statistics, U-quantiles, L-statistics as well as trimmed and winsorized U-statistics. For example, many commonly used estimators of scale fall into this class. GL-statistics only have been studied under independence; in this paper, we develop an asymptotic theory for GL-statistics of sequences which are strongly mixing or L^1 near epoch dependent on an absolutely regular process. For this purpose, we prove an almost sure approximation of the empirical U-process by a Gaussian process. With the help of a generalized Bahadur representation, it follows that such a strong invariance principle also holds for the empirical U-quantile process and consequently for GL-statistics. We obtain central limit theorems and laws of the iterated logarithm for U-processes, U-quantile processes and GL-statistics as straightforward corollaries.

Full work available at URL: https://arxiv.org/abs/1009.5337

Recommendations

• Multivariate generalized linear-statistics of short range dependent data
• \(U\)-statistics and \(U\)-processes based on weakly \(\mathcal M\)-dependent data
• Limiting behaviour of generalized \(U\)-statistics for stationary weakly dependent processes
• Generalized L-, M-, and R-statistics
• Limit Theorems for Dependent U-statistics

zbMATH Keywords

Bahadur representation\(U\)-statisticsmixinginvariance principlenear epoch dependence\(L\)-statistic

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

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Cited In (9)

• Distribution of Distances based Object Matching: Asymptotic Inference
• Generalized L-, M-, and R-statistics
• The Bahadur representation of sample quantiles for weakly dependent sequences
• The difference of symmetric quantiles under long range dependence
• The LLN and CLT for U-statistics under cross-sectional dependence
• Detecting the complexity of a functional time series
• Marcinkiewicz–Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Title not available (Why is that?)

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