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Robust subsampling

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of econometrics, 2012, vol. 167, no. 1, p. 197-210

We 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 ...