TY - JOUR
T1 - Breakdown point theory for implied probability bootstrap
AU - Camponovo, Lorenzo
AU - Otsu, Taisuke
N1 - Copyright:
Copyright 2012 Elsevier B.V., All rights reserved.
PY - 2012/2
Y1 - 2012/2
N2 - 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.
AB - 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.
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U2 - 10.1111/j.1368-423X.2011.00365.x
DO - 10.1111/j.1368-423X.2011.00365.x
M3 - Article
AN - SCOPUS:84857091073
VL - 15
SP - 32
EP - 55
JO - Econometrics Journal
JF - Econometrics Journal
SN - 1368-4221
IS - 1
ER -