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June, 1987 Bootstrap of the Mean in the Infinite Variance Case
K. B. Athreya
Ann. Statist. 15(2): 724-731 (June, 1987). DOI: 10.1214/aos/1176350371

Abstract

Let $X_1, X_2, \ldots, X_n$ be independent identically distributed random variables with $EX^2_1 = \infty$ but $X_1$ belonging to the domain of attraction of a stable law. It is known that the sample mean $\bar{X}_n$ appropriately normalized converges to a stable law. It is shown here that the bootstrap version of the normalized mean has a random distribution (given the sample) whose limit is also a random distribution implying that the naive bootstrap could fail in the heavy tailed case.

Citation

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K. B. Athreya. "Bootstrap of the Mean in the Infinite Variance Case." Ann. Statist. 15 (2) 724 - 731, June, 1987. https://doi.org/10.1214/aos/1176350371

Information

Published: June, 1987
First available in Project Euclid: 12 April 2007

zbMATH: 0628.62042
MathSciNet: MR888436
Digital Object Identifier: 10.1214/aos/1176350371

Keywords: 60F , 62E , 62F , bootstrap , Poisson random measure , Stable law

Rights: Copyright © 1987 Institute of Mathematical Statistics

Vol.15 • No. 2 • June, 1987
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