Resampling U-statistics using p-stable laws

It is well known that symmetric statistics based on a kernel with finite second moment have a limit law which can be described by a multiple Wiener-Ito integral. However, if the kernel has less than second moments, no weak limit law holds in general. In the present paper we show that by a suitable change of the empirical process this process has a p-stable multiple integral as its limit.

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Year of publication:	1990
Authors:	Dehling, Herold ; Denker, Manfred ; Woyczynski, Wojbor A.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 34.1990, 1, p. 1-13
Publisher:	Elsevier
Keywords:	U-statistic weak convergence normal domain of attraction of the p-stable law p-stable multiple stochastic integral

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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