Electronic Journal of Statistics

Weighted resampling of martingale difference arrays with applications

Markus Pauly

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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.

Article information

Electron. J. Statist., Volume 5 (2011), 41-52.

First available in Project Euclid: 7 February 2011

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62G09: Resampling methods 62G10: Hypothesis testing
Secondary: 62G20: Asymptotic properties

Resampling bootstrap martingales hypothesis testing


Pauly, Markus. Weighted resampling of martingale difference arrays with applications. Electron. J. Statist. 5 (2011), 41--52. doi:10.1214/11-EJS596. https://projecteuclid.org/euclid.ejs/1297088518

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