000028644 001__ 28644
000028644 005__ 20131209145629.0
000028644 0248_ $$aoai:doc.rero.ch:20120305172916-LP$$pinfonet_economy$$ppostprint$$punisi$$prero_explore$$pcdu33$$zthesis_urn$$zreport$$zthesis$$zbook$$zjournal$$zcdu16$$zpreprint$$zcdu1$$zdissertation$$zcdu34
000028644 041__ $$aeng
000028644 080__ $$a33
000028644 100__ $$aCamponovo, Lorenzo$$uUniversità della Svizzera italiana, Svizzera
000028644 245__ $$9eng$$aRobust subsampling
000028644 269__ $$c2011
000028644 520__ $$9eng$$aWe characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles.  This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures,  even when they are applied to robust statistics. This instability arises also for data driven block size selection procedures minimizing  the minimum confidence interval volatility index, but can be mitigated if a more robust calibration method can be applied instead. To  overcome these robustness problems, we introduce a consistent robustsubsampling procedure for M-estimators and derive explicit  subsampling quantile breakdown point characterizations for MM-estimators in the linear regression model. Monte Carlo simulations in  two settings where the bootstrap fails show the accuracy and robustness of the robustsubsampling relative to the subsampling.
000028644 695__ $$9eng$$aSubsampling ; bootstrap ; breakdown point ; robustness
000028644 700__ $$aScaillet, Olivier$$uUniversity of Geneva and Swiss Finance Institute
000028644 700__ $$aTrojani, Fabio$$uIstituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
000028644 773__ $$dElsevier$$g2012/167/1/197-210$$tJournal of econometrics
000028644 775__ $$gVersione pubblicata$$ohttp://dx.doi.org/10.1016/j.jeconom.2011.11.005
000028644 8564_ $$ftrojani_JE_2012.pdf$$qapplication/pdf$$s377459$$uhttp://doc.rero.ch/record/28644/files/trojani_JE_2012.pdf$$yorder:1$$zTexte intégral
000028644 918__ $$aFacoltà di scienze economiche$$bVia Giuseppe Buffi 13, CH-6904 Lugano
000028644 919__ $$aUniversità della Svizzera italiana$$bLugano$$ddoc.support@rero.ch
000028644 980__ $$aPOSTPRINT$$bUNISI$$fART_JOURNAL
000028644 990__ $$a20120305172916-LP