Preprint

Bootstrap for U-Statistics: A new approach

Olimjon Sh. SharipovInstitute of Mathematics , National University of Uzbekistan , Tashkent , UzbekistanJohannes TewesFakultÄt für Mathematik, Ruhr UniversitÄt Bochum, Bochum, GermanyMartin WendlerInstitut für Mathematik und Informatik, Ernst-Moritz-Arndt Universität Greifswald, Greifswald, Germany

arXiv (Cornell University)repository2015en

ABI

Abstract

Bootstrap for nonlinear statistics like U-statistics of dependent data has been studied by several authors. This is typically done by producing a bootstrap version of the sample and plugging it into the statistic. We suggest an alternative approach of getting a bootstrap version of U-statistics, which can be described as a compromise between bootstrap and subsampling. We will show the consistency of the new method and compare its finite sample properties in a simulation study.

Topics

Statistical Methods and Inference Financial Risk and Volatility Modeling Advanced Statistical Methods and Models

Identifiers

DOI: 10.17877/de290r-5248

Citations and references

Cited by 016 references

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