U-statistics of local sample moments under weak dependence - CNRS - Centre national de la recherche scientifique
Article Dans Une Revue ALEA : Latin American Journal of Probability and Mathematical Statistics Année : 2023

U-statistics of local sample moments under weak dependence

Résumé

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.
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Dates et versions

hal-03995213 , version 1 (17-02-2023)
hal-03995213 , version 2 (08-09-2023)

Identifiants

Citer

Herold Dehling, Davide Giraudo, Sara K. Schmidt. U-statistics of local sample moments under weak dependence. ALEA : Latin American Journal of Probability and Mathematical Statistics, 2023, 20 (2), pp.1511. ⟨10.30757/alea.v20-57⟩. ⟨hal-03995213v2⟩
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