Asymptotic Expansions and Bootstrapping Distributions for Dependent Variables: A Martingale Approach
Mykland, Per Aslak
Ann. Statist., Tome 20 (1992) no. 1, p. 623-654 / Harvested from Project Euclid
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The paper develops a one-step triangular array asymptotic expansion for continuous martingales which are asymptotically normal. Mixing conditions are not required, but the quadratic variations of the martingales must satisfy a law of large numbers and a central limit type condition. From this result we derive expansions for the distributions of estimators in asymptotically ergodic differential equation models, and also for the bootstrapping estimators of these distributions.
Publié le : 1992-06-14
Classification:  Bootstrapping,  differential equations,  Edgeworth-expansions,  martingales,  62E20,  62M05,  62M09,  60F99,  60G44,  60H10 
@article{1176348649,
     author = {Mykland, Per Aslak},
     title = {Asymptotic Expansions and Bootstrapping Distributions for Dependent Variables: A Martingale Approach},
     journal = {Ann. Statist.},
     volume = {20},
     number = {1},
     year = {1992},
     pages = { 623-654},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348649}
}

Mykland, Per Aslak. Asymptotic Expansions and Bootstrapping Distributions for Dependent Variables: A Martingale Approach. Ann. Statist., Tome 20 (1992) no. 1, pp.  623-654. http://gdmltest.u-ga.fr/item/1176348649/