Bootstrap estimation of the asymptotic variances of statistical functionals |
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Authors: | Jun Shao |
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Institution: | (1) Department of Mathematics, University of Ottawa, K1N 6N5 Ottawa, Ontario, Canada |
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Abstract: | A modified bootstrap estimator of the asymptotic variance of a statistical functional is studied. The modified bootstrap variance
estimator circumvents the problem of the original bootstrap when the population distribution has heavy tails, and requires
less stringent conditions for its consistency than the ordinary bootstrap variance estimator. The consistency of the modified
bootstrap variance estimator is established for differentiable statistical functionals. |
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Keywords: | Bootstrap variance estimation Fréchet differentiability consistency |
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