Document Type
Discussion Paper
Publication Date
4-1-2011
CFDP Number
1793
CFDP Pages
14
Abstract
This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for those bootstrap quantiles. The breakdown point properties characterize the situation where the implied probability bootstrap is more robust than the uniform weight bootstrap against outliers. Simulation studies illustrate our theoretical findings.
Recommended Citation
Camponovo, Lorenzo and Otsu, Taisuke, "Breakdown Point Theory for Implied Probability Bootstrap" (2011). Cowles Foundation Discussion Papers. 2136.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2136