On bootstrap sample size in extreme value theory
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.
|Bootstrap, Regular variation|
|Econometric Institute Research Papers|
|Organisation||Erasmus School of Economics|
Geluk, J.L, & de Haan, L.F.M. (2002). On bootstrap sample size in extreme value theory (No. EI 2002-40). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/541