Permutation bootstrap consistency conjecture for the max self-similarity estimator
Permutation bootstrap consistency conjecture for the max self-similarity estimator
Let be an i.i.d. sample, and let , , be a permutation bootstrap sample of the estimator . Let the scales , and the permutation sample size depend on the sample size , with each tending to infinity as . Permutation bootstrap consistency conjecture. Under certain conditions on the rates of growth of , and , the empirical distribution of the permutation bootstrap sample , , yields asymptotically consistent confidence intervals for . 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.
Sources & referencesView supporting material
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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