On bootstrap sample size in extreme value theory

It has been known for a long time that for bootstrapping the probability distribution of the maximum of a sample consistently, the bootstrap sample size needs to be of smaller order than the original sample size. See Jun Shao and Dongsheng Tu (1995), Ex. 3.9,p. 123. We show that the same is true if we use the bootstrap for estimating an intermediate quantile.

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Year of publication:	2002-11-11
Authors:	Geluk, J.L. ; de Haan, de Haan, L.F.M.
Institutions:	Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Subject:	Bootstrap \| Regular variation

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Extent:	application/pdf
Series:	Econometric Institute Research Papers. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureir Number EI 2002-40
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010731927