U-statistics of local sample moments under weak dependence
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866929473255899136 |
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| author | Dehling, Herold G. Giraudo, Davide Schmidt, Sara K. |
| author_facet | Dehling, Herold G. Giraudo, Davide Schmidt, Sara K. |
| contents | In this paper, we study the asymptotic distribution of some U-statistics whose entries are functions of empirical moments computed from non-overlapping consecutive blocks of an underlying weakly dependent process. The length of these blocks converges to infinity, and thus we consider U-statistics of triangular arrays. We establish asymptotic normality of such U-statistics. The results can be used to construct tests for changes of higher order moments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2302_09903 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | U-statistics of local sample moments under weak dependence Dehling, Herold G. Giraudo, Davide Schmidt, Sara K. Probability Statistics Theory In this paper, we study the asymptotic distribution of some U-statistics whose entries are functions of empirical moments computed from non-overlapping consecutive blocks of an underlying weakly dependent process. The length of these blocks converges to infinity, and thus we consider U-statistics of triangular arrays. We establish asymptotic normality of such U-statistics. The results can be used to construct tests for changes of higher order moments. |
| title | U-statistics of local sample moments under weak dependence |
| topic | Probability Statistics Theory |
| url | https://arxiv.org/abs/2302.09903 |