Electronic Journal of Statistics

Weighted resampling of martingale difference arrays with applications

Markus Pauly

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Abstract

In this paper the behaviour of linear resampling statistics in martingale difference arrays Xn,i,ik(n) is studied. It is shown that different bootstrap and permutation procedures work if the array (Xn,i)i fulfils the conditions of a general central limit theorem. As an application we obtain amongst others resampling versions of the Kuan and Lee [20] test for the martingale difference hypothesis.

Article information

Source
Electron. J. Statist., Volume 5 (2011), 41-52.

Dates
First available in Project Euclid: 7 February 2011

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1297088518

Digital Object Identifier
doi:10.1214/11-EJS596

Mathematical Reviews number (MathSciNet)
MR2773607

Zentralblatt MATH identifier
1274.62307

Subjects
Primary: 62G09: Resampling methods 62G10: Hypothesis testing
Secondary: 62G20: Asymptotic properties

Keywords
Resampling bootstrap martingales hypothesis testing

Citation

Pauly, Markus. Weighted resampling of martingale difference arrays with applications. Electron. J. Statist. 5 (2011), 41--52. doi:10.1214/11-EJS596. https://projecteuclid.org/euclid.ejs/1297088518


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