COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1793 Breakdown Point Theory for Implied Probability Bootstrap Lorenzo Camponovo and Taisuke Otsu April 2011 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. |
