Asymptotics for statistical functionals of long-memory sequences

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Beutner, Eric¹  Wu, Wei Biao²  Zaehle, Henryk³ 

[1] Maastricht Univ, Dept Quantitat Econ, NL-6200 MD Maastricht, Netherlands

[2] Univ Chicago, Dept Stat, Chicago, IL 60637 USA

[3] Univ Saarland, Dept Math, D-66041 Saarbrucken, Germany

关键词: Noncentral limit theorem;    Linear long-memory sequence;    Quasi-Hadamard differentiability;    Modified Functional Delta Method;    Weighted empirical process;    L-statistic;    U- and V-statistics;    Degenerate V-statistic;   

DOI  :  10.1016/j.spa.2011.10.006

来源: Elsevier

【 摘 要 】

We present two general results that can be used to obtain asymptotic properties for statistical functionals based on linear long-memory sequences. As examples for the first one we consider L- and V-statistics, in particular tail-dependent L-statistics as well as V-statistics with unbounded kernels. As an example for the second result we consider degenerate V-statistics. To prove these results we also establish a weak convergence result for empirical processes of linear long-memory sequences, which improves earlier ones. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

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