Theoretical Statistics. Lecture 5. Peter Bartlett
1. U-statistics.
1 Outline of today’s lecture
We’ll look at U-statistics, a family of estimators that includes many interesting examples. We’ll study their properties: unbiased, lower variance, concentration (via an application of the bounded differences inequality), asymptotic variance, asymptotic distribution. (See Chapter 12 of van der Vaart.) First, we’ll consider the standard unbiased estimate of variance—a special case of a U-statistic.
2 Variance estimates
n 1 s2 = (X − X¯ )2 n n − 1 i n Xi=1 n n 1 = (X − X¯ )2 +(X − X¯ )2 2n(n − 1) i n j n Xi=1 Xj=1 n n 1 2 = (X − X¯ ) − (X − X¯ ) 2n(n − 1) i n j n Xi=1 Xj=1 n n 1 1 = (X − X )2 n(n − 1) 2 i j Xi=1 Xj=1 1 1 = (X − X )2 . n 2 i j 2 Xi