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2011 Weighted resampling of martingale difference arrays with applications
Markus Pauly
Electron. J. Statist. 5: 41-52 (2011). DOI: 10.1214/11-EJS596

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.

Citation

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

Information

Published: 2011
First available in Project Euclid: 7 February 2011

zbMATH: 1274.62307
MathSciNet: MR2773607
Digital Object Identifier: 10.1214/11-EJS596

Subjects:
Primary: 62G09, 62G10
Secondary: 62G20

Rights: Copyright © 2011 The Institute of Mathematical Statistics and the Bernoulli Society

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