On bootstrap sample size in extreme value theory

Jaap Geluk and Laurens de Haan

No EI 2002-40, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: It has been known for a long time that for bootstrapping the probability distribution of the maximum of a sample consistently, the bootstrap sample size needs to be of smaller order than the original sample size. See Jun Shao and Dongsheng Tu (1995), Ex. 3.9,p. 123. We show that the same is true if we use the bootstrap for estimating an intermediate quantile.

Keywords: Bootstrap; Regular variation (search for similar items in EconPapers)
Date: 2002-11-11
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Citations: View citations in EconPapers (4)

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