On Edgeworth Expansion and Moving Block Bootstrap for StudentizedM-Estimators in Multiple Linear Regression Models
AbstractThis paper considers the multiple linear regression modelYi=xi'[beta]+[var epsilon]i,i=i,Â ...,Â n, wherexi's are knownp-1 vectors,[beta]is ap-1 vector of parameters, and[var epsilon]1,[var epsilon]2, ... are stationary, strongly mixing random variables. Let[beta]ndenote anM-estimator of[beta]corresponding to some score function[psi]. Under some conditions on[psi],xi's and[var epsilon]i's, a two-term Edgeworth expansion for Studentized multivariateM-estimator is proved. Furthermore, it is shown that the moving block bootstrap is second-order correct for some suitable bootstrap analog of Studentized[beta]n.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 56 (1996)
Issue (Month): 1 (January)
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