Jackknife estimator for anm-dependent stationary process |
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Authors: | Jun Shao |
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Institution: | (1) East China Normal University, 200062 Shanghai, China |
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Abstract: | The use of the jackknife method is successful in many situations. However, when the observations are from anm-dependent stationary process, the ordinary jackknife may provide an inconsistent variance estimator. It is shown in this note that this deficiency of the jackknife can be rectified and the jackknife variance estimator proposed is strongly consistent. |
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