On the Asymptotic Behaviour of the Moving Block Bootstrap for Normalized Sums of Heavy-Tail Random Variables

Abstract

JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org. This paper studies the performance of the moving block bootstrap procedure for normalized sums of dependent random variables. Suppose that X1, X2, ... are stationary p-mixing random variables with E p(21) < a < 2.