Template-Type: ReDIF-Paper 1.0
Author-Name: Geluk, J.L.
Author-Name-Last: Geluk
Author-Name-First: Jaap
Author-Name: de Haan, L.F.M.
Author-Name-Last: de Haan
Author-Name-First: Laurens
Title: On bootstrap sample size in extreme value theory
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.
Creation-Date: 2002-11-11
File-URL: https://repub.eur.nl/pub/541/feweco20021111104659.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2002-40
Keywords: Bootstrap, Regular variation
Handle: RePEc:ems:eureir:541