Orthogonal series and limit theorems for canonical U- and V-statistics of stationary connected observations

2009/06/30 by I. S. Borisov, Borisov, I. S., N. V. Volodko +2
Computer Science · Economics, Econometrics and Finance · Mathematics · #Bayesian Methods and Mixture Models #Financial Risk and Volatility Modeling #Statistical Methods and Inference #math.PR

paper · pdf · doi:10.48550/arxiv.0906.5465

arxiv created 2009/06/30 · arxiv updated 2009/12/01

Abstract

The limit behavior is studied for the distributions of normalized U- and V-statistics of an arbitrary order with canonical (degenerate) kernels, based on samples of increasing sizes from a stationary sequence of observations satisfying classical mixing conditions. The corresponding limit distributions are represented as infinite multilinear forms of a centered Gaussian sequence with a known covariance matrix.

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