Breakdown Point Theory for Implied Probability Bootstrap
نویسندگان
چکیده
منابع مشابه
Breakdown point theory for implied probability bootstrap
This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when an outlier takes an arbitrarily large value, and derive the breakdown points for those bootstrap quantiles. The breakdown properties characterize the situation where the implie...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1813882