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Importance of interpolation when constructing double-bootstrap confidence intervals

Hall, Peter; Lee, S-M; Young, G A


We show that, in the context of double-bootstrap confidence intervals, linear interpolation at the second level of the double bootstrap can reduce the simulation error component of coverage error by an order of magnitude. Intervals that are indistinguishable in terms of coverage error with theoretical, infinite simulation, double-bootstrap confidence intervals may be obtained at substantially less computational expense than by using the standard Monte Carlo approximation method. The intervals...[Show more]

CollectionsANU Research Publications
Date published: 2000
Type: Journal article
Source: Journal of the Royal Statistical Society Series B


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