Dependent multiplier bootstraps for non-degenerate U-statistics under mixing conditions with applications

DOI10.1016/J.JSPI.2015.09.006zbMATH Open1383.62126arXiv1412.5875OpenAlexW2962961725MaRDI QIDQ899357FDOQ899357

Axel Bücher, Ivan Kojadinovic

Publication date: 28 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: The asymptotic validity of a resampling method for two sequential processes constructed from non-degenerate $U$-statistics is established under mixing conditions. The resampling schemes, referred to as {em dependent multiplier bootstraps}, result from an adaptation of the seminal approach of cite{GomHor02} to mixing sequences. The proofs exploit recent results of cite{DehWen10b} on degenerate $U$-statistics. A data-driven procedure for estimating a key bandwidth parameter involved in the resampling schemes is also suggested, making the use of the studied dependent multiplier bootstraps fully automatic. The derived results are applied to the construction of confidence intervals and to test for change-point detection. For such applications, Monte Carlo experiments suggest that the use of the proposed resampling approaches can have advantages over that of estimated asymptotic distributions.

Full work available at URL: https://arxiv.org/abs/1412.5875

Recommendations

• Bootstrap for the sample mean and for \(U\)-statistics of mixing and near-epoch dependent processes
• A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
• Degenerate \(U\)- and \(V\)-statistics under weak dependence: asymptotic theory and bootstrap consistency
• Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
• Dependent wild bootstrap for degenerate \(U\)- and \(V\)-statistics

zbMATH Keywords

change-point detectionlag window estimatorsequential processesalpha and beta mixingfunctional multiplier central limit theorem

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Cites Work

• Introduction to empirical processes and semiparametric inference
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• Title not available (Why is that?)
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Cited In (14)

• Degenerate \(U\)- and \(V\)-statistics under weak dependence: asymptotic theory and bootstrap consistency
• A note on conditional versus joint unconditional weak convergence in bootstrap consistency results
• Functional delta-method for the bootstrap of quasi-Hadamard differentiable functionals
• Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series
• Detecting departures from meta-ellipticity for multivariate stationary time series
• Multiplier subsample bootstrap for statistics of time series
• Multiplier bootstrap methods for conditional distributions
• Tests for Scale Changes Based on Pairwise Differences
• TESTING FOR CHANGES IN KENDALL’S TAU
• Detecting distributional changes in samples of independent block maxima using probability weighted moments
• Robust change-point detection for functional time series based on \(U\)-statistics and dependent wild bootstrap
• Bootstrap confidence intervals for multiple change points based on moving sum procedures
• Detecting changes in mean in the presence of time-varying autocovariance
• Testing equality of a large number of densities under mixing conditions

Uses Software

• bootlib

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