Wild bootstrap of the sample mean in the infinite variance case

DOI10.1080/07474938.2012.690660MaRDI QIDQ5080545zbMATH OpenOpenAlexFDO

Authors Giuseppe Cavaliere, Iliyan Georgiev, A. M. Robert Taylor

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2012.690660

zbMATH Keywords

bootstraprandom probability measuresstable distributionsweak convergence

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cites work

• A Method for Simulating Stable Random Variables
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• A Three-step Method for Choosing the Number of Bootstrap Repetitions
• Additions and correction to ``The bootstrap of the mean with arbitrary bootstrap sample size
• An Introduction to the Theory of Point Processes
• Asymptotic properties of the bootstrap for heavy-tailed distributions
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• Bootstrap of the mean in the infinite variance case
• Bootstrap procedures under some non-i.i.d. models
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• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
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• On Subsampling Estimators with Unknown Rate of Convergence
• On the bootstrap of the sample mean in the infinite variance case
• Subsampling
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• The dependent wild bootstrap

Cited in

(9)

• Bootstrap, wild bootstrap, and asymptotic normality
• On the bootstrap of the sample mean in the infinite variance case
• A justification of conditional confidence intervals
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law
• A parametric bootstrap for heavy-tailed distributions
• Link of moments before and after transformations, with an application to resampling from fat-tailed distributions
• scientific article; zbMATH DE number 6026913 (Why is no real title available?)
• Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

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