Asymptotic normality of quadratic estimators

James M. Robins, Lingling Li, Eric Tchetgen Tchetgen and Aad van der Vaart

Stochastic Processes and their Applications, 2016, vol. 126, issue 12, 3733-3759

Abstract: We prove conditional asymptotic normality of a class of quadratic U-statistics that are dominated by their degenerate second order part and have kernels that change with the number of observations. These statistics arise in the construction of estimators in high-dimensional semi- and non-parametric models, and in the construction of nonparametric confidence sets. This is illustrated by estimation of the integral of a square of a density or regression function, and estimation of the mean response with missing data. We show that estimators are asymptotically normal even in the case that the rate is slower than the square root of the observations.

Keywords: Quadratic functional; Projection estimator; Rate of convergence; U-statistic (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:12:p:3733-3759

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DOI: 10.1016/j.spa.2016.04.005

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