EMIS ELibM Electronic Journals PUBLICATIONS DE L'INSTITUT MATHÉMATIQUE (BEOGRAD) (N.S.)
Vol. 71(85), pp. 21--25 (2002)

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ON BOOTSTRAP SAMPLE SIZE IN EXTREME VALUE THEORY

Jaap Geluk and Laurend de Haan

Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands

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

Classification (MSC2000): 62G30; 60G70

Full text of the article:

Electronic fulltext finalized on: 19 Feb 2003. This page was last modified: 20 Feb 2003.

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