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Weighted resampling of martingale difference arrays with applications. (English) Zbl 1274.62307

Summary: In this paper the behaviour of linear resampling statistics in martingale difference arrays \(X_{n,i}\), \(i\leq k(n)\) is studied. It is shown that different bootstrap and permutation procedures work if the array \((X_{n,i})_{i}\) fulfils the conditions of a general central limit theorem. As an application we obtain amongst others resampling versions of the Kuan-Lee [C.-M. Kuan and W.-M. Lee, Stud. Nonlinear Dyn. Econom. 8, No. 4, Article 1, 24 p. (2004; Zbl 1082.62539)] test for the martingale difference hypothesis.

MSC:

62G09 Nonparametric statistical resampling methods
62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference

Citations:

Zbl 1082.62539
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References:

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