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Robust subsampling

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Author Info

  • Camponovo, Lorenzo
  • Scaillet, Olivier
  • Trojani, Fabio

Abstract

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even when they are applied to robust statistics. This instability arises also for data driven block size selection procedures minimizing the minimum confidence interval volatility index, but can be mitigated if a more robust calibration method can be applied instead. To overcome these robustness problems, we introduce a consistent robust subsampling procedure for M-estimators and derive explicit subsampling quantile breakdown point characterizations for MM-estimators in the linear regression model. Monte Carlo simulations in two settings where the bootstrap fails show the accuracy and robustness of the robust subsampling relative to the subsampling.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304407611002594
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 167 (2012)
Issue (Month): 1 ()
Pages: 197-210

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Handle: RePEc:eee:econom:v:167:y:2012:i:1:p:197-210

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Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Subsampling; Bootstrap; Breakdown point; Robustness;

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Cited by:
  1. Loriano Mancini & Fabio Trojani, 2005. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute, revised Oct 2007.

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