Jackknifing L‐estimates

Linear functions of order statistics (“L‐estimates”) of the form T_n =under jackknifing are investigated. This paper proves that with suitable conditions on the function J, the jackknifed version T_n of the L‐estimate T_n has the same limit distribution as T_n. It is also shown that the jackknife estimate of the asymptotic variance of n^1/2 is consistent. Furthermore, the Berry‐Esséen rate associated with asymptotic normality, and a law of the iterated logarithm of a class of jackknife L‐estimates, are characterized.