The Asymptotic Accuracy of the Bootstrap of $U$-Quantiles

Abstract

The order of the Kolmogorov-Smirnov distance for the bootstrap of $U$-quantiles is considered. We observe that the order of the bootstrap of $U$-quantiles depends on the order of the local variance of the first term of the Hoeffding decomposition at the $U$-quantile. This order can be smaller than the order of the bootstrap of quantiles: $U$-quantiles can be smoother than quantiles.