Geodesic
On Bootstrap Sample Size in Extreme Value Theory
Publications de l'Institut Mathématique, _N_S_71 (2002) no. 85, p. 21 .

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It has been known for a long time that for bootstrapping the probability distribution of the maximum of a sample consistently, the bootstrap sample size needs to be of smaller order than the original sample size. See Jun Shao and Dongsheng Tu (1995), Ex. 3.9, p. 123. We show that the same is true if we use the bootstrap for estimating an intermediate quantile.
DOI : 10.2298/PIM0271021G
Classification : 62G30 60G70
Keywords: bootstrap, regular variation 
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Jaap L. Geluk; Laurend de Haan. On Bootstrap Sample Size in Extreme Value Theory. Publications de l'Institut Mathématique, _N_S_71 (2002) no. 85, p. 21 . doi : 10.2298/PIM0271021G. http://geodesic.mathdoc.fr/articles/10.2298/PIM0271021G/

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