Bootstrap estimation of covariance matrices via the percentile method

DOI10.1111/j.1368-423X.2005.00152.xzbMath1076.62028OpenAlexW1965913419MaRDI QIDQ5706719

Paulo M. D. C. Parente, José A. F. Machado

Publication date: 21 November 2005

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00152.x

zbMATH Keywords

quantile regressionempirical distributioncovariance matrix estimationpercentile method\(L\)-estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

Related Items (4)

Bootstrapping analogs of the one way MANOVA test ⋮ Extremal quantile regressions for selection models and the black-white wage gap ⋮ Applications of hyperellipsoidal prediction regions ⋮ Bootstrapping multiple linear regression after variable selection

Cites Work

• Unnamed Item
• Bootstrap variance estimators with truncation
• Estimating the asymptotic covariance matrix for quantile regression models. A Monte Carlo study
• Computers and the Theory of Statistics: Thinking the Unthinkable
• Approximation Theorems of Mathematical Statistics
• Asymptotic Statistics
• Censored Regression Quantiles

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