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

DOI10.1007/S00440-005-0440-9MaRDI QIDQ877452zbMATHOpenAlexFDO

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

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

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.

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Cites work

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Cited in

(17)

• Concentration inequalities for two-sample rank processes with application to bipartite ranking
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• Risk bounds when learning infinitely many response functions by ordinary linear regression
• Nonparametric Estimation of the Multivariate Distribution Function in a Censored Regression Model with Applications
• Breaking the curse of dimensionality in nonparametric testing
• On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
• Empirical limit theorems for Wiener chaos
• scientific article; zbMATH DE number 7625158 (Why is no real title available?)
• Conditional independence testing via weighted partial copulas
• Laws of the iterated logarithm for the local U-statistic process
• Central limit theorem for multiple integrals with respect to the empirical process
• Partial identification and inference in censored quantile regression

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