On the Asymptotic Behaviour of the Moving Block Bootstrap for Normalized Sums of Heavy-Tail Random Variables
Lahiri, S. N.
Ann. Statist., Tome 23 (1995) no. 6, p. 1331-1349 / Harvested from Project Euclid
This paper studies the performance of the moving block bootstrap procedure for normalized sums of dependent random variables. Suppose that $X_1, X_2,\ldots$ are stationary $\rho$-mixing random variables with $\sum \rho (2^i) < \infty$. Let $T_n = (X_1 + \cdots + X_n - b_n)/a_n$, for some suitable constants $a_n$ and $b_n$, and let $T^\ast_{m,n}$ denote the moving block bootstrap version of $T_n$ based on a bootstrap sample of size $m$. Under certain regularity conditions, it is shown that, for $X_n$'s lying in the domain of partial attraction of certain infinitely divisible distributions, the conditional distribution $\hat{H}_{m,n}$ of $T^\ast_{m,n}$ provides a valid approximation to the distribution of $T_n$ along every weakly convergent subsequence, provided $m = o(n)$ as $n \rightarrow \infty$. On the other hand, for the usual choice of the resample size $m = n, \hat{H}_{n,n}(x)$ is shown to converge to a nondegenerate random limit as given by Athreya (1987) when $T_n$ has a stable limit of order $\alpha, 1 < \alpha < 2$.
Publié le : 1995-08-14
Classification:  Moving block bootstrap,  stable limit,  $\rho$-mixing,  stationary,  Poisson random measure,  62E20,  62G05,  60F05
@article{1176324711,
     author = {Lahiri, S. N.},
     title = {On the Asymptotic Behaviour of the Moving Block Bootstrap for Normalized Sums of Heavy-Tail Random Variables},
     journal = {Ann. Statist.},
     volume = {23},
     number = {6},
     year = {1995},
     pages = { 1331-1349},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176324711}
}
Lahiri, S. N. On the Asymptotic Behaviour of the Moving Block Bootstrap for Normalized Sums of Heavy-Tail Random Variables. Ann. Statist., Tome 23 (1995) no. 6, pp.  1331-1349. http://gdmltest.u-ga.fr/item/1176324711/