On normal approximations to U-statistics
Bentkus, Vidmantas ; Jing, Bing-Yi ; Zhou, Wang
Ann. Probab., Tome 37 (2009) no. 1, p. 2174-2199 / Harvested from Project Euclid
Let X1, …, Xn be i.i.d. random observations. Let ${\mathbb{S}=\mathbb{L}+\mathbb{T}}$ be a U-statistic of order k≥2 where $\mathbb{L}$ is a linear statistic having asymptotic normal distribution, and $\mathbb {T}$ is a stochastically smaller statistic. We show that the rate of convergence to normality for $\mathbb{S}$ can be simply expressed as the rate of convergence to normality for the linear part $\mathbb{L}$ plus a correction term, $(\operatorname{var}\mathbb{T})\ln^{2}(\operatorname{var}\mathbb{T})$ , under the condition ${\mathbb{E}\mathbb{T}^{2}\textless \infty}$ . An optimal bound without this log factor is obtained under a lower moment assumption ${\mathbb{E}|\mathbb{T}|^{\alpha}\textless \infty}$ for ${\alpha \textless 2}$ . Some other related results are also obtained in the paper. Our results extend, refine and yield a number of related-known results in the literature.
Publié le : 2009-11-15
Classification:  U-statistics,  Berry–Esseen bound,  rate of convergence,  central limit theorem,  normal approximations,  self-normalized,  Studentized U-statistics,  62E20
@article{1258380786,
     author = {Bentkus, Vidmantas and Jing, Bing-Yi and Zhou, Wang},
     title = {On normal approximations to U-statistics},
     journal = {Ann. Probab.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 2174-2199},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1258380786}
}
Bentkus, Vidmantas; Jing, Bing-Yi; Zhou, Wang. On normal approximations to U-statistics. Ann. Probab., Tome 37 (2009) no. 1, pp.  2174-2199. http://gdmltest.u-ga.fr/item/1258380786/