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A note on moment convergence of bootstrap M-estimators
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Kengo Kato
Veröffentlicht/Copyright:
3. März 2011
Abstract
This paper studies the consistency of bootstrap moment estimators for a general M-estimator. We establish a theorem on the uniform integrability of the bootstrap M-estimator, thereby giving sufficient conditions for the consistency of the bootstrap moment estimators. As an application of our theorem, we provide sufficient conditions for the consistency of the bootstrap variance estimator for the quantile regression estimator, which has been considered as an important unsolved problem in the literature. We also discuss a justification of a bootstrap information criterion.
Published Online: 2011-03-03
Published in Print: 2011-03
© by Oldenbourg Wissenschaftsverlag, Hiroshima 739-8526, Germany
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Artikel in diesem Heft
- Abstentions in the German Bundesrat and ternary decision rules in weighted voting systems
- Asymptotic utility-based pricing and hedging for exponential utility
- Robust replication in H-self-similar Gaussian market models under uncertainty
- A note on moment convergence of bootstrap M-estimators
- On the maximization of financial performance measures within mixture models
