Statistical inference in the presence of heavy tails

DOI10.1111/j.1368-423X.2010.00340.xzbMath1241.62176MaRDI QIDQ2895996

Russell Davidson

Publication date: 13 July 2012

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

bootstrapwild bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Discussion of S.G. Donald et al. and R. Davidson ⋮ On the problem of inference for inequality measures for heavy‐tailed distributions ⋮ Asymptotic and bootstrap inference for top income shares ⋮ Two-step risk analysis in insurance ratemaking ⋮ Diagnostics for the bootstrap and fast double bootstrap

Uses Software

• ismev

Cites Work

• The wild bootstrap, tamed at last
• Asymptotic and bootstrap inference for inequality and poverty measures
• Reliable inference for the Gini index
• Asymptotic properties of the bootstrap for heavy-tailed distributions
• Bootstrap of the mean in the infinite variance case
• A simple general approach to inference about the tail of a distribution
• Bootstrap methods: another look at the jackknife
• On the bootstrap of the sample mean in the infinite variance case
• Nonparametric tail estimation using a double bootstrap method.
• Galton, Edgeworth, Frisch, and prospects for quantile regression in econometrics
• Tails of Lorenz curves
• Limit distributions of self-normalized sums
• Bootstrap and wild bootstrap for high dimensional linear models
• The Nonexistence of Certain Statistical Procedures in Nonparametric Problems
• Measures of Distributional Change: An Axiomatic Approach
• A PARAMETRIC BOOTSTRAP FOR HEAVY-TAILED DISTRIBUTIONS
• Inference on the Quantile Regression Process
• An introduction to statistical modeling of extreme values

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