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An Edgeworth expansion for the m out of n bootstrapped median

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  • Sakov, Anat
  • Bickel, Peter J.
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    Abstract

    It is well known that the ordinary bootstrap distribution of the median is consistent. We show that for bootstrap samples of size m, an Edgeworth expansion holds with reminder term . With extrapolation this gives a best possible rate estimate of the distribution.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-40T9J85-2/2/19444850f09605be7453e59237685708
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 49 (2000)
    Issue (Month): 3 (September)
    Pages: 217-223

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    Handle: RePEc:eee:stapro:v:49:y:2000:i:3:p:217-223

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    Related research

    Keywords: Bootstrap m out of n bootstrap Median Edgeworth expansion;

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    Cited by:
    1. Escanciano, Juan Carlos & Jacho-Chávez, David T., 2010. "Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications," Computational Statistics & Data Analysis, Elsevier, vol. 54(3), pages 625-636, March.
    2. Miguel Arcones, 2003. "On the asymptotic accuracy of the bootstrap under arbitrary resampling size," Annals of the Institute of Statistical Mathematics, Springer, vol. 55(3), pages 563-583, September.
    3. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
    4. Escanciano, Juan Carlos & Velasco, Carlos, 2010. "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, vol. 159(1), pages 209-221, November.
    5. Escanciano, J.C. & Goh, S.C., 2014. "Specification analysis of linear quantile models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 495-507.

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