A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS

DOI10.1017/S0266466614000395zbMath1441.62062MaRDI QIDQ5255869

Adriana Cornea-Madeira, Russell Davidson

Publication date: 22 June 2015

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Related Items (13)

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 ⋮ Generalized Cauchy model of sea level fluctuations with long-range dependence ⋮ Wild Bootstrap of the Sample Mean in the Infinite Variance Case ⋮ Applications of the characteristic function-based continuum GMM in finance ⋮ Inference procedures for stable-Paretian stochastic volatility models ⋮ A class of bootstrap tests on the tail index ⋮ LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Moment condition tests for heavy tailed time series ⋮ Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores ⋮ Portmanteau-type test for unit root with heavy-tailed noise

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