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Limit distributions of V- and U-statistics in terms of multiple stochastic Wiener-type integrals
Authors:Dietmar Ferger  Michael Scholz
Institution:
  • a Institut für Mathematische Stochastik, Technische Universität Dresden, 01062 Dresden, Germany
  • b Institut für Statistik und Ökonometrie, Georg-August Universität Göttingen, Platz der Göttinger Sieben 5, 37073 Göttingen, Germany
  • Abstract:We describe the limit distribution of V- and U-statistics in a new fashion. In the case of V-statistics the limit variable is a multiple stochastic integral with respect to an abstract Brownian bridge GQ. This extends the pioneer work of Filippova (1961) 8]. In the case of U-statistics we obtain a linear combination of GQ-integrals with coefficients stemming from Hermite Polynomials. This is an alternative representation of the limit distribution as given by Dynkin and Mandelbaum (1983) 7] or Rubin and Vitale (1980) 13]. It is in total accordance with their results for product kernels.
    Keywords:60F05  60H05  62E20
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