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Article: Bootstrap variance estimation for Nadaraya quantile estimator

TitleBootstrap variance estimation for Nadaraya quantile estimator
Authors
KeywordsNadaraya quantile estimator
Order-calibration
Smoothed bootstrap
Issue Date2010
PublisherSpringer New York LLC. The Journal's web site is located at http://www.seio.es/test/
Citation
Test, 2010, v. 19 n. 1, p. 131-145 How to Cite?
AbstractUnder a suitable choice of bandwidth, Nadaraya's estimator of the pth quantile yields smaller mean squared error than the unsmoothed pth sample quantile. We investigate the problem of bootstrap estimation of the variance of the Nadaraya quantile estimator and show that the error of the variance estimator can be reduced by smoothing the bootstrap. A novel approach, which calibrates the order p of the bootstrapped Nadaraya quantile estimates, is shown to reduce the error further. A simulation study is reported on the empirical performance of the proposed modified bootstrap variance estimators. © Sociedad de Estadística e Investigación Operativa 2009.
Persistent Identifierhttp://hdl.handle.net/10722/125415
ISSN
2015 Impact Factor: 1.207
2015 SCImago Journal Rankings: 1.173
ISI Accession Number ID
Funding AgencyGrant Number
Research Grants Council of the Hong Kong Special Administrative Region, ChinaHKU 7131/00P
Funding Information:

Supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China ( Project No. HKU 7131/00P).

References
Grants

 

DC FieldValueLanguage
dc.contributor.authorCheung, KYen_HK
dc.contributor.authorLee, SMSen_HK
dc.date.accessioned2010-10-31T11:30:05Z-
dc.date.available2010-10-31T11:30:05Z-
dc.date.issued2010en_HK
dc.identifier.citationTest, 2010, v. 19 n. 1, p. 131-145en_HK
dc.identifier.issn1133-0686en_HK
dc.identifier.urihttp://hdl.handle.net/10722/125415-
dc.description.abstractUnder a suitable choice of bandwidth, Nadaraya's estimator of the pth quantile yields smaller mean squared error than the unsmoothed pth sample quantile. We investigate the problem of bootstrap estimation of the variance of the Nadaraya quantile estimator and show that the error of the variance estimator can be reduced by smoothing the bootstrap. A novel approach, which calibrates the order p of the bootstrapped Nadaraya quantile estimates, is shown to reduce the error further. A simulation study is reported on the empirical performance of the proposed modified bootstrap variance estimators. © Sociedad de Estadística e Investigación Operativa 2009.en_HK
dc.languageengen_HK
dc.publisherSpringer New York LLC. The Journal's web site is located at http://www.seio.es/test/en_HK
dc.relation.ispartofTesten_HK
dc.subjectNadaraya quantile estimatoren_HK
dc.subjectOrder-calibrationen_HK
dc.subjectSmoothed bootstrapen_HK
dc.titleBootstrap variance estimation for Nadaraya quantile estimatoren_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1133-0686&volume=19&spage=131 – 145&epage=&date=2010&atitle=Bootstrap+variance+estimation+for+Nadaraya+quantile+estimatoren_HK
dc.identifier.emailLee, SMS: smslee@hku.hken_HK
dc.identifier.authorityLee, SMS=rp00726en_HK
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1007/s11749-009-0137-yen_HK
dc.identifier.scopuseid_2-s2.0-77950341587en_HK
dc.identifier.hkuros179210en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77950341587&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume19en_HK
dc.identifier.issue1en_HK
dc.identifier.spage131en_HK
dc.identifier.epage145en_HK
dc.identifier.eissn1863-8260-
dc.identifier.isiWOS:000276227700014-
dc.publisher.placeUnited Statesen_HK
dc.relation.projectConsistency and efficiency of iterated resampling algorithms under general conditions-
dc.identifier.scopusauthoridCheung, KY=35773070000en_HK
dc.identifier.scopusauthoridLee, SMS=24280225500en_HK
dc.identifier.citeulike4062759-

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