Bootstrap for U-statistics: a new approach |
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Authors: | Sh. Olimjon Sharipov Johannes Tewes |
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Affiliation: | 1. Institute of Mathematics, National University of Uzbekistan, Tashkent, Uzbekistan;2. Fakult?t für Mathematik, Ruhr-Universit?t Bochum, Bochum, Germany |
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Abstract: | Bootstrap for nonlinear statistics like U-statistics of dependent data has been studied by several authors. This is typically done by producing a bootstrap version of the sample and plugging it into the statistic. We suggest an alternative approach of getting a bootstrap version of U-statistics. We will show the consistency of the new method and compare its finite sample properties in a simulation study and by applying both methods to financial data. |
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Keywords: | mixing processes U-statistics bootstrap subsampling |
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