Bootstrap for U -statistics: a new approach

Sh. Olimjon Sharipov, Johannes Tewes and Martin Wendler

Journal of Nonparametric Statistics, 2016, vol. 28, issue 3, 576-594

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. 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.

Date: 2016
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DOI: 10.1080/10485252.2016.1190843

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