Asymptotic properties of robust three-stage procedure based on bootstrap for m-estimator

The paper concerns the fixed-width confidence intervals for location based on M- estimators in the location model. A robust three-stage procedure is proposed and its asymptotic properties are studied. The performance of the procedure depends on some tuning parameters. Their effect on the proposed confidence interval is checked together with the overall behaviour of the procedure in a simulation study.

MoreLess

Year of publication:	2000
Authors:	Hlávka, Zdenéek
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	fixed-width confidence intervals \| sequential estimation \| bootstrap for M-estimators

More details

Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2000,94
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983417