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Generalised bootstrap in non-regular M-estimation problems

Author

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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.

Suggested Citation

  • Bose, Arup & Chatterjee, Snigdhansu, 2001. "Generalised bootstrap in non-regular M-estimation problems," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 319-328, December.
  • Handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:319-328
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    References listed on IDEAS

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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. Cho, Jin Seo & Han, Chirok & Phillips, Peter C.B., 2010. "Lad Asymptotics Under Conditional Heteroskedasticity With Possibly Infinite Error Densities," Econometric Theory, Cambridge University Press, vol. 26(03), pages 953-962, June.
    2. Xiong, Shifeng & Li, Guoying, 2008. "Some results on the convergence of conditional distributions," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3249-3253, December.

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