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Two-term Edgeworth expansion for M-estimators of a linear regression parameter without Cramér-type conditions and an application to the bootstrap
Published online by Cambridge University Press: 09 April 2009
Abstract
A two-term Edgeworth expansion for the distribution of an M-estimator of a simple linear regression parameter is obtained without assuming any Cramér-type conditions. As an application, it is shown that certain modification of the naive bootstrap procedure is second order correct even when the error variables have a lattice distribution. This is in marked contrast with the results of Singh on the sample mean of independent and identically distributed random variables.
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- Copyright © Australian Mathematical Society 1997
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