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Generalised bootstrap in non-regular M-estimation problems

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  • Bose, Arup
  • Chatterjee, Snigdhansu

Abstract

For estimators of parameters defined as minimisers of Q([theta])=Ef([theta],X), we study the asymptotic and generalised bootstrap properties. We concentrate on the case where Q does not have adequate smoothness for standard analysis to work. We describe the properties required by Q as well as bootstrap weights for consistency of the bootstrap.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 55 (2001)
Issue (Month): 3 (December)
Pages: 319-328

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Handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:319-328

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Related research

Keywords: Nonregular M estimates Convex function Bootstrap Jackknife Asymptotic distribution;

References

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  1. Knight, Keith, 1998. "Bootstrapping sample quantiles in non-regular cases," Statistics & Probability Letters, Elsevier, vol. 37(3), pages 259-267, March.
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Cited by:
  1. Xiong, Shifeng & Li, Guoying, 2008. "Some results on the convergence of conditional distributions," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3249-3253, December.
  2. Jin Seo Cho & Chirok-Han & Peter C. B. Phillips, 2009. "LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities," Discussion Paper Series 0917, Institute of Economic Research, Korea University.

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