Showing 1 - 10 of 68,625
valid inference can be drawn by the use of the subsampling method. Moreover, the method can even be extended to situations … model becomes difficult and subsampling can be used advantageously there as well. In addition, we consider an hypothesis …
Persistent link: https://www.econbiz.de/10005827465
are constructed using model-free methods based on subsampling. …
Persistent link: https://www.econbiz.de/10010939524
to be asymptotically conservative. The power of GMS tests is compared to that of subsampling, m out of n bootstrap, and … to have asymptotic power that dominates that of subsampling, m out of n bootstrap, and PA tests. Subsampling and m out of …
Persistent link: https://www.econbiz.de/10005464003
We propose a fast resample method for two step nonlinear parametric and semiparametric models, which does not require recomputation of the second stage estimator during each resample iteration. The fast resample method directly exploits the score function representations computed on each...
Persistent link: https://www.econbiz.de/10010753478
identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m …
Persistent link: https://www.econbiz.de/10005593497
We compute the breakdown point of the subsampling quantile of a general statistic, and show that it is increasing in … the subsampling block size and the breakdown point of the statistic. These results imply fragile subsampling quantiles for … moderate block sizes, also when subsampling procedures are applied to robust statistics. This instability is inherited by data …
Persistent link: https://www.econbiz.de/10005816513
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to quantify their quantile breakdown point. For the block bootstrap and the sub- sampling, we find a very low quantile breakdown point. A similar robustness problem arises in relation to...
Persistent link: https://www.econbiz.de/10008479295
We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling … quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling … can be applied instead. To overcome these robustness problems, we introduce a consistent robust subsampling procedure for …
Persistent link: https://www.econbiz.de/10010574079
Persistent link: https://www.econbiz.de/10010928652
or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that …
Persistent link: https://www.econbiz.de/10005011842