Bootstrap estimation of covariance matrices via the percentile method

DOI10.1111/j.1368-423X.2005.00152.xzbMath1076.62028MaRDI QIDQ5706719

Paulo M. D. C. Parente, José A. F. Machado

Publication date: 21 November 2005

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00152.x

zbMATH Keywords

quantile regression; empirical distribution; covariance matrix estimation; percentile method; \(L\)-estimators

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

62E20: Asymptotic distribution theory in statistics

62F40: Bootstrap, jackknife and other resampling methods

62G09: Nonparametric statistical resampling methods

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