Point process convergence for symmetric functions of high-dimensional random vectors

被引:0
|
作者
Heiny, Johannes [1 ]
Kleemann, Carolin [2 ]
机构
[1] Stockholm Univ, Dept Math, Albano Hus 1, S-10691 Stockholm, Sweden
[2] Ruhr Univ Bochum, Fak Math, Univ Str 150, D-44780 Bochum, Germany
关键词
Point process convergence; Extreme value theory; Poisson process; Gumbel distribution; High-dimensional data; U-statistics; Kendall's tau; Spearman's rho; POISSON APPROXIMATION; INDEPENDENCE; DEVIATIONS; STATISTICS;
D O I
10.1007/s10687-023-00482-w
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
The convergence of a sequence of point processes with dependent points, defined by a symmetric function of iid high-dimensional random vectors, to a Poisson random measure is proved. This also implies the convergence of the joint distribution of a fixed number of upper order statistics. As applications of the result a generalization of maximum convergence to point process convergence is given for simple linear rank statistics, rank-type U-statistics and the entries of sample covariance matrices.
引用
收藏
页码:185 / 217
页数:33
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