Breakdown point theory for implied probability bootstrap

Lorenzo Camponovo, Taisuke Otsu

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analysing behaviours of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust against outliers than the uniform weight bootstrap. Simulation studies illustrate our theoretical findings.

Original languageEnglish
Pages (from-to)32-55
Number of pages24
JournalEconometrics Journal
Volume15
Issue number1
DOIs
Publication statusPublished - 2012 Feb 1
Externally publishedYes

Fingerprint

Bootstrap
Breakdown
Outliers
Quantile
Simulation study
Moment conditions
Robustness
Bootstrap inference

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Breakdown point theory for implied probability bootstrap. / Camponovo, Lorenzo; Otsu, Taisuke.

In: Econometrics Journal, Vol. 15, No. 1, 01.02.2012, p. 32-55.

Research output: Contribution to journalArticle

Camponovo, Lorenzo ; Otsu, Taisuke. / Breakdown point theory for implied probability bootstrap. In: Econometrics Journal. 2012 ; Vol. 15, No. 1. pp. 32-55.
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