Idioma:

LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS

Abadir, Karim M. ; Cornea-Madeira, Adriana

Econometric theory, 2019-06, Vol.35 (3), p.630-652 [Periódico revisado por pares]

Texto completo disponível

Citações Citado por

Título:
LINK OF MOMENTS BEFORE AND AFTER TRANSFORMATIONS, WITH AN APPLICATION TO RESAMPLING FROM FAT-TAILED DISTRIBUTIONS
Autor: Abadir, Karim M. ; Cornea-Madeira, Adriana
Assuntos: Body fat ; Bootstrap method ; Econometrics ; Economic theory ; Probability distribution ; Transformation
É parte de: Econometric theory, 2019-06, Vol.35 (3), p.630-652
Descrição: Let x be a transformation of y, whose distribution is unknown. We derive an expansion formulating the expectations of x in terms of the expectations of y. Apart from the intrinsic interest in such a fundamental relation, our results can be applied to calculating E(x) by the low-order moments of a transformation which can be chosen to give a good approximation for E(x). To do so, we generalize the approach of bounding the terms in expansions of characteristic functions, and use our result to derive an explicit and accurate bound for the remainder when a finite number of terms is taken. We illustrate one of the implications of our method by providing accurate naive bootstrap confidence intervals for the mean of any fat-tailed distribution with an infinite variance, in which case currently available bootstrap methods are asymptotically invalid or unreliable in finite samples.
Editor: New York, USA: Cambridge University Press
Idioma: Inglês

Voltar para lista de resultados