 Computing the asymptotic distribution of second-order U- and V-statisticsComputational Statistics & Data Analysis, 2022, vol. 174, issue C Abstract: Under general conditions, the asymptotic distribution of degenerate second-order U- and V-statistics is an (infinite) weighted sum of χ2 random variables whose weights are the eigenvalues of an integral operator associated with the kernel of the statistic. Also the behavior of the statistic in terms of power can be characterized through the eigenvalues and the eigenfunctions of the same integral operator. No general algorithm seems to be available to compute these quantities starting from the kernel of the statistic. An algorithm is proposed to approximate (as precisely as needed) the asymptotic distribution and to build several measures of performance for tests based on U- and V-statistics. The algorithm uses the Wielandt–Nyström method of approximation of an integral operator based on quadrature, and can be used with several methods of numerical integration. An extensive numerical study shows that the Wielandt–Nyström method based on Clenshaw–Curtis quadrature performs very well both for the eigenvalues and the eigenfunctions. Keywords: Wielandt–Nyström method; Clenshaw–Curtis quadrature; U- and V-statistics (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322000172 DOI: 10.1016/j.csda.2022.107437 Access Statistics for this article Computational Statistics & Data Analysis is currently edited by S.P. Azen More articles in Computational Statistics & Data Analysis from Elsevier |
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