Abstract
The aim of this paper is to derive the asymptotic statistical properties of a class of discrepancies on the unit hypercube called $b$-adic diaphonies. They have been introduced to evaluate the equidistribution of quasi-Monte Carlo sequences on the unit hypercube. We consider their properties when applied to a sample of independent and uniformly distributed random points. We show that the limiting distribution of the statistic is an infinite weighted sum of chi-squared random variables, whose weights can be explicitly characterized and computed. We also describe the rate of convergence of the finite-sample distribution to the asymptotic one and show that this is much faster than in the classical Berry-Esséen bound. Then, we consider in detail the approximation of the asymptotic distribution through two truncations of the original infinite weighted sum, and we provide explicit and tight bounds for the truncation error. Numerical results illustrate the findings of the paper, and an empirical example shows the relevance of the results in applications.
Raffaello Seri
Professor of Econometrics
My research interests include statistics, numerical analysis, operations research, psychology, economics and management.