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Asymptotic rate of convergence in the degenerate U-statistics of second order

Olga Yanushkevichiene — 2010

Banach Center Publications

Let X,X₁,...,Xₙ be independent identically distributed random variables taking values in a measurable space (Θ,ℜ ). Let h(x,y) and g(x) be real valued measurable functions of the arguments x,y ∈ Θ and let h(x,y) be symmetric. We consider U-statistics of the type T ( X , . . . , X ) = n - 1 1 i L e t q i ( i 1 ) b e e i g e n v a l u e s o f t h e H i l b e r t - S c h m i d t o p e r a t o r a s s o c i a t e d w i t h t h e k e r n e l h ( x , y ) , a n d q b e t h e l a r g e s t i n a b s o l u t e v a l u e o n e . W e p r o v e t h a t Δn = ρ(T(X₁,...,Xₙ),T(G₁,..., Gₙ)) ≤ (cβ’1/6)/(√(|q₁|) n1/12) , where G i , 1 ≤ i ≤ n, are i.i.d. Gaussian random vectors, ρ is the Kolmogorov (or uniform) distance and β ' : = E | h ( X , X ) | ³ + E | h ( X , X ) | 18 / 5 + E | g ( X ) | ³ + E | g ( X ) | 18 / 5 + 1 < .

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