Optimizing the smoothed bootstrap
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References listed on IDEAS
- Jones, M. C., 1991. "On correcting for variance inflation in kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 11(1), pages 3-15, January.
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- Hotta, Luiz & Trucíos, Carlos & Ruiz, Esther, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
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KeywordsBootstrap; functional estimation; kernel density estimation; mean integrated squared error; mean squared error; quantile; rescaling; smoothing;
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