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Bootstrap estimation of covariance matrices via the percentile method
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UNSPECIFIED (2005) Bootstrap estimation of covariance matrices via the percentile method. ECONOMETRICS JOURNAL, 8 (1). pp. 70-78. ISSN 1368-4221
Full text not available from this repository.Abstract
Consistency of the bootstrap second moments does not usually follow from the proofs of consistency of the distribution of the bootstrap. Here it is shown that the convergence of the bootstrap distribution to a normal variate implicitly defines a consistent estimator for the asymptotic second moments. The estimator is based on the L-estimation of the scale parameter of arbitrary linear combinations of the bootstrap sequence and uses Classical Minimum Distance techniques to impose the positive semi-definiteness restrictions.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions Q Science > QA Mathematics H Social Sciences |
| Journal or Publication Title: | ECONOMETRICS JOURNAL |
| Publisher: | BLACKWELL PUBLISHING |
| ISSN: | 1368-4221 |
| Date: | 2005 |
| Volume: | 8 |
| Number: | 1 |
| Number of Pages: | 9 |
| Page Range: | pp. 70-78 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/33999 |
Data sourced from Thomson Reuters' Web of Knowledge
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