Point process convergence for symmetric functions of high-dimensional random vectors
Probability
2024-02-14 v2
Abstract
The convergence of a sequence of point processes with dependent points, defined by a symmetric function of iid high-dimensional random vectors, to a Poisson random measure is proved. This also implies the convergence of the joint distribution of a fixed number of upper order statistics. As applications of the result a generalization of maximum convergence to point process convergence is given for simple linear rank statistics, rank-type U-statistics and the entries of sample covariance matrices.
Cite
@article{arxiv.2303.15804,
title = {Point process convergence for symmetric functions of high-dimensional random vectors},
author = {Johannes Heiny and Carolin Kleemann},
journal= {arXiv preprint arXiv:2303.15804},
year = {2024}
}
Comments
28 pages, 1 figure