Bootstrapping the Student t-Statistic
Mason, David M. ; Shao, Qi-Man.
Ann. Probab., Tome 29 (2001) no. 1, p. 1435-1450 / Harvested from Project Euclid
Let $X_1\ldots,X_n, n \geq 1$, be independent, identically distributed random variables and consider the Student $t$-statistic $T_n$ based upon these random variables. Giné, Götze and Mason (1997) proved that $T_n$ converges in distribution to a standard normal random variable if and only if $X$ is in the domain of attraction of a normal random variable and$EX = 0$. We shall show that roughly the same holds true for the bootstrapped Student $t$- statistic $T_n^*$. In the process we shall disclose all the possible subsequential limiting laws of $T_^*n$. The proofs introduce a number of amusing tricks that may be of independent interest.
Publié le : 2001-10-14
Classification:  Bootstrap,  Student $t$-statistic,  order statistics,  62E20,  62F12,  60F05
@article{1015345757,
     author = {Mason, David M. and Shao, Qi-Man.},
     title = {Bootstrapping the Student t-Statistic},
     journal = {Ann. Probab.},
     volume = {29},
     number = {1},
     year = {2001},
     pages = { 1435-1450},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1015345757}
}
Mason, David M.; Shao, Qi-Man. Bootstrapping the Student t-Statistic. Ann. Probab., Tome 29 (2001) no. 1, pp.  1435-1450. http://gdmltest.u-ga.fr/item/1015345757/