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On bootstrap sample size in extreme value theory

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Author Info
J.L. Geluk ()
L.F.M. de Haan () (FEW-Econometrie en besliskunde)
Abstract

It has been known for a long time that for bootstrapping the probability distribution of the maximum of a sample consistently, the bootstrap sample size needs to be of smaller order than the original sample size. See Jun Shao and Dongsheng Tu (1995), Ex. 3.9,p. 123. We show that the same is true if we use the bootstrap for estimating an intermediate quantile.

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Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number 292.

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Date of creation: 2002
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Handle: RePEc:dgr:eureir:2002292

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Keywords: bootstrap;

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  1. De Haan, L. & Stadtmuller, U., 1992. "Generalized Regular Variation of Second Order," Papers 9268-a, Erasmus University of Rotterdam - Econometric Institute.
  2. De Haan, L. & Resnick, S.I., 1995. "Estimating the Limit Distribution of Multivariate Exteremes," Papers 9525/a, Erasmus University of Rotterdam - Econometric Institute.
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This page was last updated on 2009-12-16.

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