Exact convergence rate of bootstrap quantile variance estimator
- Cite this article as:
- Hall, P. & Martin, M.A. Probab. Th. Rel. Fields (1988) 80: 261. doi:10.1007/BF00356105
It is shown that the relative error of the bootstrap quantile variance estimator is of precise order n-1/4, when n denotes sample size. Likewise, the error of the bootstrap sparsity function estimator is of precise order n-1/4. Therefore as point estimators these estimators converge more slowly than the Bloch-Gastwirth estimator and kernel estimators, which typically have smaller error of order at most n-2/5.