On limiting distribution of U-statistics based on associated random variables

Mansi Garg and Isha Dewan

Statistics & Probability Letters, 2018, vol. 132, issue C, 7-16

Abstract: Let {Xn,n≥1} be a sequence of stationary associated random variables. We discuss another set of conditions under which a central limit theorem for U-statistics based on {Xn,n≥1} holds. We look at U-statistics based on differentiable kernels of degree 2 and above. As applications, we discuss consistent estimators of second, third and fourth central moments, and estimators of skewness and kurtosis based on them.

Keywords: Associated random variables; U-statistics; Central limit theorem; Skewness; Kurtosis (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2017.08.016

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