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On the accuracy of bootstrapping sample quantiles of strongly mixing sequences
Published online by Cambridge University Press: 09 April 2009
Abstract
In this paper, we examine the rate of convergence of moving block bootstrap (MBB) approximations to the distributions of normalized sample quantiles based on strongly mixing observations. Under suitable smoothness and regularity conditions on the one-dimensional marginal distribution function, the rate of convergence of the MBB approximations to distributions of centered and scaled sample quantiles is of order O(n−1¼ log logn).
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- Research Article
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- Copyright © Australian Mathematical Society 2007
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