Estimation of a regular conditional functional by conditional U-statistics regression

Alexis Derumigny

Research output: Working paper

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Abstract

U-statistics constitute a large class of estimators, generalizing the empirical mean of a random variable $X$ to sums over every $k$-tuple of distinct observations of $X$. They may be used to estimate a regular functional $\theta(P_{X})$ of the law of $X$. When a vector of covariates $Z$ is available, a conditional U-statistic may describe the effect of $z$ on the conditional law of $X$ given $Z=z$, by estimating a regular conditional functional $\theta(P_{X|Z=\cdot})$. We prove concentration inequalities for conditional U-statistics. Assuming a parametric model of the conditional functional of interest, we propose a regression-type estimator based on conditional U-statistics. Its theoretical properties are derived, first in a non-asymptotic framework and then in two different asymptotic regimes. Some examples are given to illustrate our methods.
Original languageEnglish
Number of pages35
Publication statusPublished - 26 Mar 2019
Externally publishedYes

Keywords

  • U-stqtistics
  • regression-type models
  • conditional distribution
  • Penalization method

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