Weighted resampling of martingale difference arrays with applications

By Markus Pauly. 2011

50 citations recorded by the source corpus.

Abstract: In this paper the behaviour of linear resampling statistics in martingale difference arrays Xn,i, i ≤ k(n) is studied. It is shown that different bootstrap and permutation procedures work if the array (Xn,i)i fulfils the conditions of a general central limit theorem. As an application we obtain amongst others resampling versions of the Kuan and Lee [20] test for the martingale difference hypothesis.

Subfields: Artificial Intelligence, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a8851b956403ee9d1d28816b49766ad092d11abc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. S. Termini
2. Frank Konietschke
3. Edgar Brunner
4. Jan Beyersmann
5. Markus Pauly

In Management Science and Operations Research

1. Frank Konietschke
2. Edgar Brunner
3. S. Termini
4. Jan Beyersmann
5. Markus Pauly
6. Peng Ding
7. Jason A. Wu
8. Subir Ghosh

In Statistics and Probability

1. Frank Konietschke
2. Markus Pauly
3. Edgar Brunner
4. S. Termini
5. Jan Beyersmann
6. Peng Ding
7. Jason A. Wu
8. Subir Ghosh

Citations in the corpus

• Bootstrap Inference of Matching Estimators for Average Treatment Effects (2017, unknown): “(e.g., Mason and Newton 1992; Pauly 2011).”
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “We follow Pauly (2011) and use a modified Cramer-Wold device to establish the bootstrap CLT.”
• Asymptotic permutation tests in general factorial designs (2015, methodology): “First ideas in this direction have been developed by Neuhaus (1993) and Janssen (1997) and have been further developed and generalized by Janssen and Pauls (2003), Neubert and Brunner (2007), Pauly (2011a), Konietschke and Pauly (2012), Omelka and Pauly (2012) and Chung and Romano (2013).”
• Weak Convergence of the Wild Bootstrap for the Aalen–Johansen Estimator of the Cumulative Incidence Function of a Competing Risk (2013, methodology): “The main aim of the present article is a rigorous mathematical study of the wild bootstrap for the Aalen–Johansen estimator of the CIF using recent results on linear resampling statistics in martingale difference arrays (Pauly, 2011).”