Electronic Communications in Probability

Stable limit theorem for $U$-statistic processes indexed by a random walk

Abstract

Let $(S_n)_{n\in \mathbb{N} }$ be a $\mathbb{Z}$-valued random walk with increments from the domain of attraction of some $\alpha$-stable law and let $(\xi (i))_{i\in \mathbb{Z} }$ be a sequence of iid random variables. We want to investigate $U$-statistics indexed by the random walk $S_n$, that is $U_n:=\sum _{1\leq i<j\leq n}h(\xi (S_i),\xi (S_j))$ for some symmetric bivariate function $h$. We will prove the weak convergence without assumption of finite variance. Additionally, under the assumption of finite moments of order greater than two, we will establish a law of the iterated logarithm for the $U$-statistic $U_n$.

Article information

Source
Electron. Commun. Probab., Volume 22 (2017), paper no. 9, 12 pp.

Dates
Accepted: 16 March 2016
First available in Project Euclid: 14 January 2017

https://projecteuclid.org/euclid.ecp/1484363136

Digital Object Identifier
doi:10.1214/16-ECP4173

Mathematical Reviews number (MathSciNet)
MR3607804

Zentralblatt MATH identifier
1357.60025

Citation

Franke, Brice; Pène, Françoise; Wendler, Martin. Stable limit theorem for $U$-statistic processes indexed by a random walk. Electron. Commun. Probab. 22 (2017), paper no. 9, 12 pp. doi:10.1214/16-ECP4173. https://projecteuclid.org/euclid.ecp/1484363136

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