U-statistics of local sample moments under weak dependence
Probability
2024-08-27 v2 Statistics Theory
Statistics Theory
Abstract
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.
Cite
@article{arxiv.2302.09903,
title = {U-statistics of local sample moments under weak dependence},
author = {Herold G. Dehling and Davide Giraudo and Sara K. Schmidt},
journal= {arXiv preprint arXiv:2302.09903},
year = {2024}
}