Incomplete generalized L-statistics
Hössjer, Ola
Ann. Statist., Tome 24 (1996) no. 6, p. 2631-2654 / Harvested from Project Euclid
Given data $X_1, \dots, X_n$ and a kernel h with m arguments, Serfling introduced the class of generalized L-statistics (GL-statistics), which is defined by taking linear combinations of the ordered $h(X_{i_1}, \dots, X_{i_m})$ where $(i_1, \dots, i_m)$ ranges over all $n!/(n - m)!$ distinct m-tuples of $(1, \dots, n)$. In this paper we derive a class of incomplete generalized L-statistics (IGL-statistics) by taking linear combinations of the ordered elements from a subset of ${h(X_{i_1}, \dots, X_{i_m})}$ with size $N(n)$. A special case is the class of incomplete U-statistics, introduced by Blom. Under very general conditions, the IGL-statistic is asymptotically equivalent to the GL-statistic as soon as $N(n)/n \to \infty \as n \to \infty$, which makes the IGL much more computationally feasible. We also discuss various ways of selecting the subset of ${h(X_{i_1}, \dots, X_{i_m})}$. Several examples are discussed. In particular, some new estimates of the scale parameter in nonparametric regression are introduced. It is shown that these estimates are asymptotically equivalent to an IGL-statistic. Some extensions, for example, functionals other than L and multivariate kernels, are also addressed.
Publié le : 1996-12-14
Classification:  Asymptotic normality,  incomplete $U$-statistics,  invariance principle,  order statistics,  nonparametric regression,  $L$-statistics,  scale estimation,  $U$-statistics,  62G30,  62G20,  62F35
@article{1032181173,
     author = {H\"ossjer, Ola},
     title = {Incomplete generalized L-statistics},
     journal = {Ann. Statist.},
     volume = {24},
     number = {6},
     year = {1996},
     pages = { 2631-2654},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1032181173}
}
Hössjer, Ola. Incomplete generalized L-statistics. Ann. Statist., Tome 24 (1996) no. 6, pp.  2631-2654. http://gdmltest.u-ga.fr/item/1032181173/