The Annals of Statistics

Asymptotic expansions for sums of block-variables under weak dependence

S. N. Lahiri

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Abstract

Let {Xi}i=−∞ be a sequence of random vectors and $Y_{in}=f_{in}(\mathcal{X}_{i,\ell})$ be zero mean block-variables where $\mathcal{X}_{i,\ell}=(X_{i},\ldots,X_{i+\ell-1})$, i≥1, are overlapping blocks of length and where fin are Borel measurable functions. This paper establishes valid joint asymptotic expansions of general orders for the joint distribution of the sums ∑i=1nXi and ∑i=1nYin under weak dependence conditions on the sequence {Xi}i=−∞ when the block length grows to infinity. In contrast to the classical Edgeworth expansion results where the terms in the expansions are given by powers of n−1/2, the expansions derived here are mixtures of two series, one in powers of n−1/2 and the other in powers of $[\frac{n}{\ell}]^{-1/2}$. Applications of the main results to (i) expansions for Studentized statistics of time series data and (ii) second order correctness of the blocks of blocks bootstrap method are given.

Article information

Source
Ann. Statist., Volume 35, Number 3 (2007), 1324-1350.

Dates
First available in Project Euclid: 26 July 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1185458986

Digital Object Identifier
doi:10.1214/009053607000000190

Mathematical Reviews number (MathSciNet)
MR2341707

Zentralblatt MATH identifier
1132.60025

Subjects
Primary: 60F05: Central limit and other weak theorems
Secondary: 62E20: Asymptotic distribution theory 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]

Keywords
Blocks of blocks bootstrap Cramér’s condition Edgeworth expansions moderate deviation inequality moving block bootstrap second-order correctness Studentized statistics strong mixing

Citation

Lahiri, S. N. Asymptotic expansions for sums of block-variables under weak dependence. Ann. Statist. 35 (2007), no. 3, 1324--1350. doi:10.1214/009053607000000190. https://projecteuclid.org/euclid.aos/1185458986


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