✦ LIBER ✦
On Edgeworth Expansion and Moving Block Bootstrap for StudentizedM-Estimators in Multiple Linear Regression Models
✍ Scribed by Soumendra Nath Lahiri
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 870 KB
- Volume
- 56
- Category
- Article
- ISSN
- 0047-259X
No coin nor oath required. For personal study only.
✦ Synopsis
where x i 's are known p_1 vectors, ; is a p_1 vector of parameters, and = 1 , = 2 , ... are stationary, strongly mixing random variables. Let ; n denote an M-estimator of ; corresponding to some score function . Under some conditions on , x i 's and = i 's, a two-term Edgeworth expansion for Studentized multivariate M-estimator is proved. Furthermore, it is shown that the moving block bootstrap is second-order correct for some suitable bootstrap analog of Studentized ; n .