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Bootstrap for U -statistics: a new approach

Author

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  • Sh. Olimjon Sharipov
  • Johannes Tewes
  • Martin Wendler

Abstract

Bootstrap for nonlinear statistics like U -statistics of dependent data has been studied by several authors. This is typically done by producing a bootstrap version of the sample and plugging it into the statistic. We suggest an alternative approach of getting a bootstrap version of U -statistics. We will show the consistency of the new method and compare its finite sample properties in a simulation study and by applying both methods to financial data.

Suggested Citation

  • Sh. Olimjon Sharipov & Johannes Tewes & Martin Wendler, 2016. "Bootstrap for U -statistics: a new approach," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(3), pages 576-594, September.
    • Handle: RePEc:taf:gnstxx:v:28:y:2016:i:3:p:576-594
    DOI: 10.1080/10485252.2016.1190843
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