An estimate on the supremum of a nice class of stochastic integrals and U-statistics

DOI10.1007/S00440-005-0440-9MaRDI QIDQ877452zbMATH OpenOpenAlexFDO

Authors P. Major

Publication date 23 April 2007

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0310324

zbMATH Keywords

degenerate U-statisticssupremum bounds

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic integrals (60H05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Abstract: Let a sequence of iid. random variables $x{i}_1,\mathrm{...},x{i}_n$ be given on a space $(X,calX)$ with distribution $mu$ together with a nice class $calF$ of functions $f(x_1,\mathrm{...},x_k)$ of $k$ variables on the product space $(X^k,{calX}^k)$. For all $fincalF$ we consider the random integral $J_{n,k}(f)$ of the function $f$ with respect to the $k$-fold product of the normalized signed measure $sqrtn(m{u}_n-mu)$, where $m{u}_n$ denotes the empirical measure defined by the random variables $x{i}_1,\mathrm{...},x{i}_n$ and investigate the probabilities $P(su{p}_{fincalF}|J_{n,k}(f)|>x)$ for all $x>0$. We show that for nice classes of functions, for instance if $calF$ is a Vapnik-Cervonenkis class, an almost as good bound can be given for these probabilities as in the case when only the random integral of one function is considered.

Review text

The paper aims to bound the upper tail probability of the supremum of appropriate classes of multiple integrals with respect to a normalized empirical measure. This problem is closely related to the study of the supremum of classes of degenerate \(U\)-statistics. Let \(\xi_1, \ldots, \xi_n\) be a sequence of independent and identically distributed random variables on a given space \((X, \chi)\) with distribution \(\mu\). Let \({\mathcal{F}}\) denote a class of functions of \(k\) variables on the product space \((X^k, \chi^k)\). For all \(f \in {\mathcal{F}}\) we consider the random integral \(J_{n,k}(f)\) of the function \(f\) with respect to the \(k\)-fold product of the normalized signed measure \(\sqrt{n}(\mu_n - \mu),\) where \(\mu_n\) denotes the empirical measure defined by the random variables \(\xi_1, \ldots, \xi_n.\) The paper gives bounds for the probabilities \(P( \sup_{f\in {\mathcal F}}| J_{n,k}(f)| \geq x)\) for all \(x>0.\) The results provide an improvement of similar bounds for degenerate \(U\)-statistics found by \textit{M. Arcones} and \textit{E. Giné} [Stoch. Proc. Appl. 52, 17--38 (1994; Zbl 0807.62014)], where the kernels constitute a Vapnik-Červonenkis class.

Recommendations

• scientific article; zbMATH DE number 5880983
• Moment inequalities for U-statistics
• On a multivariate version of Bernstein's inequality
• Limit distributions of conditional \(U\)-statistics
• Tail behaviour of multiple random integrals and \(U\)-statistics
• On the estimation of multiple random integrals and \(U\)-statistics
• A Bernstein-type inequality for \(U\)-statistics and \(U\)-processes
• scientific article; zbMATH DE number 30699

Cites work

• \(U\)-processes indexed by Vapnik-Červonenkis classes of functions with applications to asymptotics and bootstrap of \(U\)-statistics with estimated parameters
• Convergence of stochastic processes
• scientific article; zbMATH DE number 1301721 (Why is no real title available?)
• Inequalities in Fourier analysis
• Limit theorems for \(U\)-processes
• Some limit theorems for empirical processes (with discussion)
• Strong embedding of the estimator of the distribution function under random censorship
• The central limit theorem for empirical processes on Vapnik- Červonenkis classes

Cited in

(18)

• Central limit theorem for multiple integrals with respect to the empirical process
• Partial identification and inference in censored quantile regression
• On the estimation of multiple random integrals and \(U\)-statistics
• Conditional independence testing via weighted partial copulas
• On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
• Concentration inequalities for two-sample rank processes with application to bipartite ranking
• Laws of the iterated logarithm for the local U-statistic process
• Ranking and empirical minimization of \(U\)-statistics
• Risk bounds when learning infinitely many response functions by ordinary linear regression
• scientific article; zbMATH DE number 5880983 (Why is no real title available?)
• Nonparametric Estimation of the Multivariate Distribution Function in a Censored Regression Model with Applications
• Uniform asymptotics for kernel density estimators with variable bandwidths
• Post-regularization inference for time-varying nonparanormal graphical models
• scientific article; zbMATH DE number 7625158 (Why is no real title available?)
• An estimate about multiple stochastic integrals with respect to a normalized empirical measure
• Empirical limit theorems for Wiener chaos
• A link function specification test in the single functional index model
• Breaking the curse of dimensionality in nonparametric testing

This page was built for publication: An estimate on the supremum of a nice class of stochastic integrals and U-statistics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q877452)