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In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the...
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functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …
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We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and … verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are …. Our bootstrap method can be used in many situations like constructing con dence intervals and bands. We demonstrate the …
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