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Martingale inequalities and the Jackknife estimate of variance

Author

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  • Rhee, WanSoo T.
  • Talagrand, Michel

Abstract

We give a short proof of the Jackknife Estimate of Variance of Efron-Stein using martingale difference techniques. The method could be used to get information on other moments than the second moment.

Suggested Citation

  • Rhee, WanSoo T. & Talagrand, Michel, 1986. "Martingale inequalities and the Jackknife estimate of variance," Statistics & Probability Letters, Elsevier, vol. 4(1), pages 5-6, January.
    • Handle: RePEc:eee:stapro:v:4:y:1986:i:1:p:5-6
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    Cited by:

    1. Houdré, Christian, 1997. "The iterated jackknife estimate of variance," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 197-201, September.
    2. Decreusefond, Laurent & Halconruy, Hélène, 2019. "Malliavin and Dirichlet structures for independent random variables," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2611-2653.

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    Keywords

    jackknife variance;

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