FIT - NTNU
4
Plug in estimator for the skewness param Q ECXD 3fe.GE 3 f EE CH 3 EE x Varin AD EEE G 72 I Varpa x 312 f Exis 3 t.Zxi.tn Zai II in 2 12 f Zai 5121312 No poem distributional assumptions One way of building or estimator Real world Bootstrap world xn E Cxi xn a to FIT V n v f't.sc O SCx
Transcript of FIT - NTNU
Plug in estimator for the skewness param
Q ECXD 3fe.GE3
f EE CH 3 EE x Varin AD EEE G72I
Varpa x312
f Exis 3 t.Zxi.tnZai II in2 12
f Zai 5121312
No poem distributional assumptions
One way of building or estimator
Real world Bootstrap world
xn E Cxi xn
a to FIT Vn v f't.scO SCx
We get 8 6 B this is the basis forestimating the distribution of
Esh E as
SDECEY iz.IE lb 8412
where I C LEE b
Estimatethebias
biasp lot Ep TCF
biasELITE EE ECE
EE Et Bt 2b
Bias corrected estimate
Ee E LEECE'T HEI
VarCEc Var CE
Estimateconf.intervats
f a CI
9012 CI 94 212
O
NOn movingbbcksbootslrap
i.EE EaEEoa ooa
t
resaceeple the blocks with replacement
io ao o fqFgEIsb
a
l
MovingblockI
3
Resample blocks with replacement
BlockofBlocksyX X1 Xa Xn
Y aKx3X iD YaStat of interest can be written as a functionof
yLagi Cov Cov Ya Kal
