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The bootstrap for empirical processes based on stationary observations

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  • Radulovic, Dragan

Abstract

It is shown that the blockwise bootstrap of the empirical process for a stationary [beta]-mixing sequences, indexed by VC-subgraph classes of functions, converges weakly to the appropriate Gaussian process, conditionally in probability. The conditions imposed are only marginally stronger than the best-known sufficient conditions for the regular CLT for these processes.

Suggested Citation

  • Radulovic, Dragan, 1996. "The bootstrap for empirical processes based on stationary observations," Stochastic Processes and their Applications, Elsevier, vol. 65(2), pages 259-279, December.
    • Handle: RePEc:eee:spapps:v:65:y:1996:i:2:p:259-279
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    Cited by:

    1. Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot, 2021. "Nonparametric Euler Equation Identification And Estimation," Econometric Theory, Cambridge University Press, vol. 37(5), pages 851-891, October.
    2. Otsu, Taisuke & Seo, Myung Hwan & Whang, Yoon-Jae, 2012. "Testing for non-nested conditional moment restrictions using unconditional empirical likelihood," Journal of Econometrics, Elsevier, vol. 167(2), pages 370-382.
    3. Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, vol. 124(1), pages 117-148, January.
    4. Volker Krätschmer & Henryk Zähle, 2017. "Statistical Inference for Expectile-based Risk Measures," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(2), pages 425-454, June.
    5. Dragan Radulović, 2004. "Renewal type bootstrap for Markov chains," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(1), pages 147-192, June.

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