Extension of Process Convergence With Application to Chatterjee's Rank Correlation

Abstract

We give conditions under which weak convergence of a stochastic process indexed in the class of $d$-dimensional hyperrectangles is sufficient to ensure convergence in the larger class of functions of uniformly bounded Hardy-Krause variation. When applied to the empirical process, this can further be extended to derive weak convergence of V-processes indexed in the class of kernel functions which are coordinate-wise of uniformly bounded Hardy-Krause variation. Our proofs use a generalisation of the Koksma-Hlawka inequality for linear operators, allowing us to establish our results without any continuity assumptions on the functions involved. Our theory is complemented by two separate applications: First, we establish asymptotic normality of Chatterjee's rank correlation in the fully general setting. Second, we present new limit theorems for U- and V-processes of strongly mixing data.

arXiv commentThis article was previously entitled `Asymptotic Normality of Chatterjee's Rank Correlation'. Improved theory on extension of process convergence. Includes formula for the limiting variance of Chatterjee's rank correlation