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Using a bootstrap method to choose the sample fraction in tail index estimation

Danielsson, J.; de Haan, de Haan, L.F.M.; Peng, Peng, L.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2000

a two step subsample bootstrap method. This method adaptively determines the sample fraction that minimizes the …

Persistent link: https://www.econbiz.de/10010837770

Using a bootstrap method to choose the sample fraction in tail index estimation

Danielsson, J.; Haan, L.F.M. de; Peng, L.; Vries, C.G. de - Erasmus University Rotterdam, Econometric Institute - 2000

a two step subsample bootstrap method. This method adaptively determines the sample fraction that minimizes the …

Persistent link: https://www.econbiz.de/10008484074

A bootstrap-based method to achieve optimality on estimating the extreme-value index

Draisma, Draisma, G.; de Haan, de Haan, L.F.M.; Peng, … - Faculteit der Economische Wetenschappen, Erasmus … - 2000

choose the number of order statistics involved in an optimal way, balancing variance and bias components. Recently this has …

Persistent link: https://www.econbiz.de/10010837846

A bootstrap-based method to achieve optimality on estimating the extreme-value index

Draisma, G.; Haan, L.F.M. de; Peng, L.; Pereira, T.T. - Erasmus University Rotterdam, Econometric Institute - 2000

choose the number of order statistics involved in an optimal way, balancing variance and bias components. Recently this has …

Persistent link: https://www.econbiz.de/10008484088

A bootstrap-based method to achieve optimality in estimating the extreme-value index

Haan, Laurens de; Peng, Liang; Pereira, T. Themido - 1997

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

Persistent link: https://www.econbiz.de/10010342310

Bootstrapping standard errors of estimates based on structural time series models

Krieg, Sabine; Brakel, Jan A. van den - 2017

Persistent link: https://www.econbiz.de/10011762439

Minimisation of bias of Pearson correlation coefficient in presence of coincidental outliers

Tsagkanos, Athanasios - In: International journal of computational economics and … 8 (2018) 1, pp. 121-128

Persistent link: https://www.econbiz.de/10011990367

A simplified approach to bias estimation for correlations

Liu, Xiaofeng Steven - In: Epidemiologic Methods 10 (2021) 1

Abstract Objectives We introduce a simple and unified methodology to estimate the bias of Pearson correlation …

Persistent link: https://www.econbiz.de/10014590691

Bias Estimates in Bootstrapping

Bettonvil, B.W.M. - Tilburg University, School of Economics and Management - 1999

Five bootstrapping techniques are examined and compared on their potential for bias reduction. Four of these techniques …

Persistent link: https://www.econbiz.de/10011087142

Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions

Phillips, Kerk L.; Spencer, David E. - Volkswirtschaftliche Fakultät, … - 2010

scale adjustment. This bias is often unrecognized because it only affects the bootstrap estimates of the error variance, not … example from the literature, the bootstrap error variance bias can have significant distorting effects on bootstrap IRF …Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression …

Persistent link: https://www.econbiz.de/10008550553