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Importance of interpolation when constructing double-bootstrap confidence intervals

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

Description

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]

dc.contributor.authorHall, Peter
dc.contributor.authorLee, S-M
dc.contributor.authorYoung, G A
dc.date.accessioned2015-12-13T23:15:51Z
dc.date.available2015-12-13T23:15:51Z
dc.identifier.issn1369-7412
dc.identifier.urihttp://hdl.handle.net/1885/89096
dc.description.abstractWe 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 retain the simplicity of uniform bootstrap sampling and require no special analysis or computational techniques. Interpolation at the first level of the double bootstrap is shown to have a relatively minor effect on the simulation error.
dc.publisherAiden Press
dc.sourceJournal of the Royal Statistical Society Series B
dc.subjectKeywords: Confidence interval; Coverage error; Edgeworth expansion; Iterated bootstrap; Monte Carlo simulation; Resample; Simulation
dc.titleImportance of interpolation when constructing double-bootstrap confidence intervals
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume62
dc.date.issued2000
local.identifier.absfor010405 - Statistical Theory
local.identifier.ariespublicationMigratedxPub19010
local.type.statusPublished Version
local.contributor.affiliationHall, Peter, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationLee, S-M, University of Hong Kong
local.contributor.affiliationYoung, G A, University of Cambridge
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage479
local.bibliographicCitation.lastpage491
dc.date.updated2015-12-12T08:45:26Z
local.identifier.scopusID2-s2.0-0034354950
CollectionsANU Research Publications

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