Generalised bootstrap in non-regular M-estimation problems
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.
Volume (Year): 55 (2001)
Issue (Month): 3 (December)
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- Knight, Keith, 1998. "Bootstrapping sample quantiles in non-regular cases," Statistics & Probability Letters, Elsevier, vol. 37(3), pages 259-267, March.