The Order of the Normal Approximation for a Studentized $U$-Statistic
Callaert, Herman ; Veraverbeke, Noel
Ann. Statist., Tome 9 (1981) no. 1, p. 194-200 / Harvested from Project Euclid
Let $U_N$ be a one sample $U$-statistic with kernel $h$ of degree two, such that $Eh(X_1, X_2) = \vartheta$ and $\operatorname{Var} E\lbrack h(X_1, X_2)\mid X_1 \rbrack > 0$. It is shown that for a studentized $U$-statistic $\sup_x|P(N^{1/2}S^{-1}_N(U_N - \vartheta) \leqslant x) - \Phi(x)| = O(N^{-1/2})$ as $N \rightarrow \infty$, where $N^{-1}S^2_N = 4N^{-1}(N - 1)(N - 2)^{-2}\sum^N_{i=1} \lbrack (N - 1)^{-1} \sum_{j\neq i} h(X_i, X_j) - U_N \rbrack^2$ is the jackknife estimator of $\operatorname{Var} U_N$. The condition needed to obtain this order bound is the existence of the 4.5th absolute moment of the kernel $h$. As in Helmers' Ph.D. thesis on linear combinations of order statistics, the analogous result for a studentized sum of i.i.d. random variables arises as a special case.
Publié le : 1981-01-14
Classification:  Order of normal approximation,  Studentized $U$-statistic,  jackknife statistic,  Student's $t$-statistic,  60F05,  62E20
@article{1176345347,
     author = {Callaert, Herman and Veraverbeke, Noel},
     title = {The Order of the Normal Approximation for a Studentized $U$-Statistic},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 194-200},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345347}
}
Callaert, Herman; Veraverbeke, Noel. The Order of the Normal Approximation for a Studentized $U$-Statistic. Ann. Statist., Tome 9 (1981) no. 1, pp.  194-200. http://gdmltest.u-ga.fr/item/1176345347/