Two-Sample U-Statistic Processes for Long-Range Dependent Data
Probability
2014-04-03 v1
Abstract
Motivated by some common-change point tests, we investigate the asymptotic distribution of the U-statistic process , , when the underlying data are long-range dependent. We present two approaches, one based on an expansion of the kernel into Hermite polynomials, the other based on an empirical process representation of the U-statistic. Together, the two approaches cover a wide range of kernels, including all kernels commonly used in applications.
Cite
@article{arxiv.1404.0551,
title = {Two-Sample U-Statistic Processes for Long-Range Dependent Data},
author = {Herold Dehling and Aeneas Rooch and Martin Wendler},
journal= {arXiv preprint arXiv:1404.0551},
year = {2014}
}