Computationally efficient double bootstrap variance estimation

✍ Scribed by Sune Karlsson; Mickael Löthgren

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 101 KB
• Volume: 33
• Category: Article
• ISSN: 0167-9473
• DOI: 10.1016/s0167-9473(99)00066-3

✦ Synopsis

The double bootstrap provides a useful tool for bootstrapping approximately pivotal quantities by using an "inner" bootstrap loop to estimate the variance. When the estimators are computationally intensive, the double bootstrap may become infeasible. We propose the use of a new variance estimator for the nonparametric bootstrap which e ectively removes the requirement to perform the inner loop of the double bootstrap. Simulation results indicate that the proposed estimator produce bootstrap-t conÿdence intervals with coverage accuracy which replicates the coverage accuracy for the standard double bootstrap.