Permutation bootstrap consistency conjecture for the max self-similarity estimator

Let X(1),,X(N)X(1),\ldots,X(N) be an i.i.d. sample, and let H^i\widehat H_i, i=1,,Mi=1,\ldots,M, be a permutation bootstrap sample of the estimator H^(j1,j2)\widehat H(j_1,j_2). Let the scales j1j_1, j2j_2 and the permutation sample size MM depend on the sample size NN, with each tending to infinity as NN\to\infty. Permutation bootstrap consistency conjecture. Under certain conditions on the rates of growth of j1j_1, j2j_2 and MM, the empirical distribution of the permutation bootstrap sample H^i\widehat H_i, i=1,,Mi=1,\ldots,M, yields asymptotically consistent confidence intervals for H^\widehat H. The preceding discussion explains that the bootstrap statistics are exchangeable and have the same distribution as the original estimator, motivating their use as a proxy for its sampling distribution; the conjecture concerns the asymptotic validity of the resulting confidence intervals, but does not specify the required growth conditions.

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Primary source

Stilian A. Stoev, George Michailidis and Murad S. Taqqu, “Estimating heavy-tail exponents through max self-similarity”, arXiv:math/0609163 (2006).

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