Asymptotic expansions for sums of block-variables under weak dependence

DOI10.1214/009053607000000190MaRDI QIDQ2642750zbMATH OpenOpenAlexFDO

Authors Soumendra N. Lahiri

Publication date 4 September 2007

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0606739

zbMATH Keywords

blocks of blocks bootstrapCramér's conditionEdgeworth expansionsmoderate deviation inequalitymoving block bootstrapsecond-order correctnessstrong mixingStudentized statistics

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Let ${X_i}_{i=-infty}^{infty}$ be a sequence of random vectors and $Y_{in}=f_{in}(mathcal{X}_{i,ell})$ be zero mean block-variables where $mathcal{X}_{i,ell}=(X_i,\mathrm{...},X_{i+ell-1}),igeq1$, are overlapping blocks of length $ell$ and where $f_{in}$ are Borel measurable functions. This paper establishes valid joint asymptotic expansions of general orders for the joint distribution of the sums $su{m}_{i=1}^n{X}_i$ and $su{m}_{i=1}^n{Y}_{in}$ under weak dependence conditions on the sequence ${X_i}_{i=-infty}^{infty}$ when the block length $ell$ grows to infinity. In contrast to the classical Edgeworth expansion results where the terms in the expansions are given by powers of $n^{-1/2}$, the expansions derived here are mixtures of two series, one in powers of $n^{-1/2}$ and the other in powers of $[fracnell{]}^{-1/2}$. Applications of the main results to (i) expansions for Studentized statistics of time series data and (ii) second order correctness of the blocks of blocks bootstrap method are given.

Review text

Let \(\{X_i\}^{\infty}_{-\infty}\) be a sequence of random variables and \(Y_{in}= f_{in}(X_i, \dots,X_{i +k-1}), i \geq 1\) be zero mean block-variables of length \(k.\) The author obtains valid joint asymptotic expansions for the joint distributions of \((\sum_{i=1}^nX_i, \sum_{i=1}^nY_{in})\) under weak dependence conditions on the sequence \(\{X_i\}^{\infty}_{-\infty}\) when the block length level \(k\) grows to infinity. Some applications are discussed.

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Cited in

(6)

• Asymptotic expansions for sums of block-variables under weak dependence
• Parallel bootstrap and optimal subsample lengths in smooth function models
• Fixed-smoothing asymptotics for time series
• A blockwise empirical likelihood method for time series in frequency domain inference
• Second-order properties of the convolved subsampling method for time series
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