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arXiv · 2302.09903

U-statistics of local sample moments under weak dependence

Herold G. Dehling·Davide Giraudo·Sara K. Schmidt
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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.

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Herold G. Dehling, Davide Giraudo, Sara K. Schmidt. 2023-02-20. U-statistics of local sample moments under weak dependence. https://doi.org/10.30757/alea.v20-57

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