Second-order correctness of the blockwise bootstrap for stationary observations
The Annals of Statistics · 1996 · Volume 24 · Issue 5
Abstract
We show that the blockwise bootstrap approximation for the distribution of a studentized statistic computed from dependent data is second-order correct provided we choose an appropriate variance estimator. We also show how to adapt the $BC_a$ confidence interval of Efron to the a dependent case. For the proofs we extend the results of Götze and Hipp on the validity of the formal Edgeworth expansion for a sum to the studentized mean.
Keywords
$BC_a$ confidence interval, 62E20, 62G15, 62M10, dependent data, Edgeworth expansion, Resampling, Strong mixing, studentization, time series
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