Bootstrapping point processes with some applications

DOI10.1016/S0304-4149(99)00052-6MaRDI QIDQ1613654zbMATH OpenWikidataFDO

Authors R. Smith

Publication date 29 August 2002

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(99)00052-6

zbMATH Keywords

bootstrapextremespoint process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Monte Carlo methods (65C05)

Review text

The authors study the weak limit behavior of point processes obtained by replacing the original observations by the bootstrap sample. In some cases where the usual bootstrap fails, the authors show that subsampling at the rate \(m(n) = o(n) \rightarrow \infty \) depending on the sample size \(n\rightarrow \infty \) the weak limit exists. If \(m(n)\log \log n/n\rightarrow 0\), then the asymptotic results are valid almost surely. The method is applied to bootstrapping extremes.

Recommendations

• A bootstrap for point processes
• Asymptotic theory for bootstrapping the extremes
• Is bootstrap really helpful in point process statistics?
• Convergence rates for the bootstrapped product-limit process
• scientific article; zbMATH DE number 2063757

Cites work

• Asymptotic properties of the bootstrap for heavy-tailed distributions
• Bootstrap of the mean in the infinite variance case
• Bootstrapping convex hulls
• scientific article; zbMATH DE number 3866301 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 3636993 (Why is no real title available?)
• scientific article; zbMATH DE number 1089177 (Why is no real title available?)
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Linear Programming Estimators and Bootstrapping for Heavy Tailed Phenomena
• On the bootstrap of the sample mean in the infinite variance case
• Point processes, regular variation and weak convergence
• Some asymptotic theory for the bootstrap
• Some results on the influence of extremes on the bootstrap
• The bootstrap of the mean with arbitrary bootstrap sample size
• The Influence of the Maximum Term in the Addition of Independent Random Variables

Cited in

(11)

• An alternative to the \(m\) out of \(n\) bootstrap
• Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
• Bootstrapping convex hulls
• Extremal quantile treatment effects
• Return and Value at Risk using the Dirichlet Process
• Option pricing for infinite variance data
• Bootstrap Confidence Regions for the Intensity of a Poisson Point Process
• A bootstrap for point processes
• Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law
• On the bootstrap in cube root asymptotics
• Quasi-Bayesian Inference for Production Frontiers

This page was built for publication: Bootstrapping point processes with some applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1613654)