English

Estimation of a regular conditional functional by conditional U-statistics regression

Statistics Theory 2019-03-27 v1 Statistics Theory

Abstract

U-statistics constitute a large class of estimators, generalizing the empirical mean of a random variable XX to sums over every kk-tuple of distinct observations of XX. They may be used to estimate a regular functional θ(PX)\theta(P_{X}) of the law of XX. When a vector of covariates ZZ is available, a conditional U-statistic may describe the effect of zz on the conditional law of XX given Z=zZ=z, by estimating a regular conditional functional θ(PXZ=)\theta(P_{X|Z=\cdot}). We prove concentration inequalities for conditional U-statistics. Assuming a parametric model of the conditional functional of interest, we propose a regression-type estimator based on conditional U-statistics. Its theoretical properties are derived, first in a non-asymptotic framework and then in two different asymptotic regimes. Some examples are given to illustrate our methods.

Keywords

Cite

@article{arxiv.1903.10914,
  title  = {Estimation of a regular conditional functional by conditional U-statistics regression},
  author = {Alexis Derumigny},
  journal= {arXiv preprint arXiv:1903.10914},
  year   = {2019}
}

Comments

35 pages

R2 v1 2026-06-23T08:19:35.677Z