Asymptotics of Studentized U-type processes for changepoint problems

Csörgő, Miklós; Szyszkowicz, Barbara; Wang, Qiying

Asymptotics of Studentized U-type processes for changepoint problems

Authors

Csörgő, Miklós

Szyszkowicz, Barbara

Wang, Qiying

Description

This paper investigates weighted approximations for studentized $U$-statistics type processes, both with symmetric and antisymmetric kernels, only under the assumption that the distribution of the projection variate is in the domain of attraction of the normal law. The classical second moment condition $E|h(X_1,X_2)|^2 < \infty$ is also relaxed in both cases. The results can be used for testing the null assumption of having a random sample versus the alternative that there is a change in distribution in the sequence.
19 pages