Generalised bootstrap in non-regular M-estimation problems

Arup Bose; Snigdhansu Chatterjee

doi:10.1016/S0167-7152(01)00161-4

Generalised bootstrap in non-regular M-estimation problems

Arup Bose
, Snigdhansu Chatterjee

Research output: Contribution to journal › Article › peer-review

18 Scopus citations

Abstract

For estimators of parameters defined as minimisers of Q(θ)=Ef(θ,X), we study the asymptotic and generalised bootstrap properties. We concentrate on the case where Q does not have adequate smoothness for standard analysis to work. We describe the properties required by Q as well as bootstrap weights for consistency of the bootstrap.

Original language	English (US)
Pages (from-to)	319-328
Number of pages	10
Journal	Statistics and Probability Letters
Volume	55
Issue number	3
DOIs	https://doi.org/10.1016/S0167-7152(01)00161-4
State	Published - Dec 1 2001
Externally published	Yes

Bibliographical note

Copyright:
Copyright 2005 Elsevier Science B.V., Amsterdam. All rights reserved.

Keywords

60F05
62G05
62G35
Asymptotic distribution
Bootstrap
Convex function
Jackknife
Nonregular M estimates
Primary 62G09
Secondary 62G20

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10.1016/S0167-7152(01)00161-4

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AB - For estimators of parameters defined as minimisers of Q(θ)=Ef(θ,X), we study the asymptotic and generalised bootstrap properties. We concentrate on the case where Q does not have adequate smoothness for standard analysis to work. We describe the properties required by Q as well as bootstrap weights for consistency of the bootstrap.

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KW - 62G05

KW - 62G35

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KW - Bootstrap

KW - Convex function

KW - Jackknife

KW - Nonregular M estimates

KW - Primary 62G09

KW - Secondary 62G20

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

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ER -

Generalised bootstrap in non-regular M-estimation problems

Abstract

Bibliographical note

Keywords

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