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Using a bootstrap method to choose the sample fraction in tail index estimation

Danielsson, J.; de Haan, de Haan, L.F.M.; Peng, Peng, L.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2000

a two step subsample bootstrap method. This method adaptively determines the sample fraction that minimizes the …

Persistent link: https://www.econbiz.de/10010837770

Using a bootstrap method to choose the sample fraction in tail index estimation

Danielsson, J.; Haan, L.F.M. de; Peng, L.; Vries, C.G. de - Erasmus University Rotterdam, Econometric Institute - 2000

a two step subsample bootstrap method. This method adaptively determines the sample fraction that minimizes the …

Persistent link: https://www.econbiz.de/10008484074

Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C.G. - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10010324719

Using a bootstrap method to choose the sample fraction in tail index estimation

Daníelsson, Jón; Haan, Laurens de; Peng, L.; Vries, … - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10010232860

Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Institute - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the sample …

Persistent link: https://www.econbiz.de/10005504945

Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation

Danielsson, J.; Haan, L. de; Peng, L.; Vries, C.G. de - Tinbergen Instituut - 1997

We use a subsample bootstrap method to get a consistent estimate of the asymptotically optimal choice of the …

Persistent link: https://www.econbiz.de/10011257229

On the ambiguous consequences of omitting variables

De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2015

-generation process, the least-squares estimators have smaller bias (in fact zero bias) but larger variances in the long regression than … in the short regression. But if the long regression is also misspecified, the bias may not be smaller. We provide bias …

Persistent link: https://www.econbiz.de/10010532602

Unbiased estimation as a public good

Kaplan, David M. - 2019

Persistent link: https://www.econbiz.de/10012116622

A bootstrap-based method to achieve optimality in estimating the extreme-value index

Haan, Laurens de; Peng, Liang; Pereira, T. Themido - 1997

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

Persistent link: https://www.econbiz.de/10010342310

Bootstrapping standard errors of estimates based on structural time series models

Krieg, Sabine; Brakel, Jan A. van den - 2017

Persistent link: https://www.econbiz.de/10011762439

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