A note on moment convergence of bootstrap M-estimators

Kato Kengo

Statistics & Risk Modeling, 2011, vol. 28, issue 1, 51-61

Abstract: This paper studies the consistency of bootstrap moment estimators for a general M-estimator. We establish a theorem on the uniform integrability of the bootstrap M-estimator, thereby giving sufficient conditions for the consistency of the bootstrap moment estimators. As an application of our theorem, we provide sufficient conditions for the consistency of the bootstrap variance estimator for the quantile regression estimator, which has been considered as an important unsolved problem in the literature. We also discuss a justification of a bootstrap information criterion.

Keywords: Bootstrap; M-estimator; moment convergence; quantile regression (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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DOI: 10.1524/stnd.2011.1078

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