Statistical inference in the presence of heavy tails

DOI10.1111/j.1368-423X.2010.00340.xzbMath1241.62176MaRDI QIDQ2895996

Russell Davidson

Publication date: 13 July 2012

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

bootstrap; wild bootstrap

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G32: Statistics of extreme values; tail inference

62G09: Nonparametric statistical resampling methods

91B82: Statistical methods; economic indices and measures

Related Items

Two-step risk analysis in insurance ratemaking, Diagnostics for the bootstrap and fast double bootstrap, Asymptotic and bootstrap inference for top income shares, Discussion of S.G. Donald et al. and R. Davidson, On the problem of inference for inequality measures for heavy‐tailed distributions

Uses Software

• ismev

Cites Work

• The wild bootstrap, tamed at last
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• On the bootstrap of the sample mean in the infinite variance case
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• Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics
• Tails of Lorenz curves
• Limit distributions of self-normalized sums
• Bootstrap and wild bootstrap for high dimensional linear models
• The Nonexistence of Certain Statistical Procedures in Nonparametric Problems
• Measures of Distributional Change: An Axiomatic Approach
• A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS
• Inference on the Quantile Regression Process
• An introduction to statistical modeling of extreme values