U-statistic

In statistical theory, a U-statistic is a class of statistics defined as the average over the application of a given function applied to all tuples of a fixed size. The letter "U" stands for unbiased. In elementary statistics, U-statistics arise naturally in producing minimum-variance unbiased estimators.

The theory of U-statistics allows a minimum-variance unbiased estimator to be derived from each unbiased estimator of an estimable parameter (alternatively, statistical functional) for large classes of probability distributions.[1][2] An estimable parameter is a measurable function of the population's cumulative probability distribution: For example, for every probability distribution, the population median is an estimable parameter. The theory of U-statistics applies to general classes of probability distributions.

  1. ^ Cox & Hinkley (1974), p. 200, p. 258
  2. ^ Hoeffding (1948), between Eq's(4.3),(4.4)