A parametric bootstrap for heavy-tailed distributions

DOI10.1017/S0266466614000395MaRDI QIDQ5255869zbMATH OpenFDO

Authors Adriana Cornea-Madeira, Russell Davidson

Publication date 22 June 2015

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466614000395

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20)

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Cites work

• A simple general approach to inference about the tail of a distribution
• Approximation Theorems of Mathematical Statistics
• Asymptotic properties of the bootstrap for heavy-tailed distributions
• Bimodal t-ratios: the impact of thick tails on inference
• Bootstrap methods: another look at the jackknife
• Bootstrap of the mean in the infinite variance case
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Laws of large numbers for sums of extreme values
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On the bootstrap of the sample mean in the infinite variance case
• On the robustness of location estimators in models of firm growth under heavy-tailedness
• Stable Paretian models in finance
• Subsampling
• Subsampling inference for the mean in the heavy-tailed case.
• Tail estimates motivated by extreme value theory
• The jackknife and bootstrap
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• When is the Student \(t\)-statistic asymptotically standard normal?
• Zipf's Law for Cities: An Explanation

Cited in

(20)

• Applications of the characteristic function-based continuum GMM in finance
• Inference procedures for stable-Paretian stochastic volatility models
• Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores
• Portmanteau-type test for unit root with heavy-tailed noise
• Generalized Cauchy model of sea level fluctuations with long-range dependence
• Statistical inference in the presence of heavy tails
• Discussion of S.G. Donald et al. and R. Davidson
• Sieve-based inference for infinite-variance linear processes
• A PARAMETRIC BOOTSTRAP TEST FOR GENERALIZED EXTREME VALUE DISTRIBUTION
• scientific article; zbMATH DE number 1203744 (Why is no real title available?)
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Wild bootstrap of the sample mean in the infinite variance case
• Moment condition tests for heavy tailed time series
• Link of moments before and after transformations, with an application to resampling from fat-tailed distributions
• Subsampling inference for the mean in the heavy-tailed case.
• A class of bootstrap tests on the tail index
• Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles
• Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
• Limit theory for martingale transforms with heavy-tailed noise
• Parametric bootstrap tests for continuous and discrete distributions

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