Annals of Statistics

Asymptotic properties of U-processes under long-range dependence

Abstract

Let (Xi)i≥1 be a stationary mean-zero Gaussian process with covariances $\rho(k)=\mathbb {E}(X_{1}X_{k+1})$ satisfying ρ(0) = 1 and ρ(k) = kDL(k), where D is in (0, 1), and L is slowly varying at infinity. Consider the U-process {Un(r), rI} defined as $$U_n(r) =\frac{1}{n(n−1)} \sum_{1≤i≠j≤n}1_{\{G(X_i, X_j)≤r\}},$$ where I is an interval included in ℝ, and G is a symmetric function. In this paper, we provide central and noncentral limit theorems for Un. They are used to derive, in the long-range dependence setting, new properties of many well-known estimators such as the Hodges–Lehmann estimator, which is a well-known robust location estimator, the Wilcoxon-signed rank statistic, the sample correlation integral and an associated robust scale estimator. These robust estimators are shown to have the same asymptotic distribution as the classical location and scale estimators. The limiting distributions are expressed through multiple Wiener–Itô integrals.

Article information

Source
Ann. Statist., Volume 39, Number 3 (2011), 1399-1426.

Dates
First available in Project Euclid: 13 May 2011

Permanent link to this document
https://projecteuclid.org/euclid.aos/1305292041

Digital Object Identifier
doi:10.1214/10-AOS867

Mathematical Reviews number (MathSciNet)
MR2850207

Zentralblatt MATH identifier
1242.62100

Citation

Lévy-Leduc, C.; Boistard, H.; Moulines, E.; Taqqu, M. S.; Reisen, V. A. Asymptotic properties of U -processes under long-range dependence. Ann. Statist. 39 (2011), no. 3, 1399--1426. doi:10.1214/10-AOS867. https://projecteuclid.org/euclid.aos/1305292041

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Supplemental materials

• Supplementary material: Proofs of Lemmas 9, 10, 12, 13, 14, 15, 16, 17 and 18 and some numerical experiments. This supplement contains proofs of Lemmas 9, 10, 12, 13, 14, 15, 16, 17 and 18 and a section containing numerical experiments illustrating some results of Section 4.