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Bootstrap for<i>U</i>-statistics: a new approach

Sh. Olimjon 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

Journal of nonparametric statisticsjournal2016en

ABI

Annotatsiya

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. We will show the consistency of the new method and compare its finite sample properties in a simulation study and by applying both methods to financial data.

Mavzular

Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Mathematical Dynamics and Fractals

Identifikatorlar

DOI: 10.1080/10485252.2016.1190843

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