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Article: The effect of Monte Carlo approximation on coverage error of double-bootstrap confidence intervals

TitleThe effect of Monte Carlo approximation on coverage error of double-bootstrap confidence intervals
Authors
KeywordsBootstrap
Coverage error
Double bootstrap
Monte Carlo approximation
Percentile method
Resample
Sampling error
Simulation
Issue Date1999
PublisherWiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSB
Citation
Journal Of The Royal Statistical Society. Series B: Statistical Methodology, 1999, v. 61 n. 2, p. 353-366 How to Cite?
AbstractA double-bootstrap confidence interval must usually be approximated by a Monte Carlo simulation, consisting of two nested levels of bootstrap sampling. We provide an analysis of the coverage accuracy of the interval which takes account of both the inherent bootstrap and Monte Carlo errors. The analysis shows that, by a suitable choice of the number of resamples drawn at the inner level of bootstrap sampling, we can reduce the order of coverage error. We consider also the effects of performing a finite Monte Carlo simulation on the mean length and variability of length of two-sided intervals. An adaptive procedure is presented for the choice of the number of inner level resamples. The effectiveness of the procedure is illustrated through a small simulation study.
Persistent Identifierhttp://hdl.handle.net/10722/82943
ISSN
2015 Impact Factor: 4.222
2015 SCImago Journal Rankings: 7.429
References

 

DC FieldValueLanguage
dc.contributor.authorLee, SMSen_HK
dc.contributor.authorYoung, GAen_HK
dc.date.accessioned2010-09-06T08:35:10Z-
dc.date.available2010-09-06T08:35:10Z-
dc.date.issued1999en_HK
dc.identifier.citationJournal Of The Royal Statistical Society. Series B: Statistical Methodology, 1999, v. 61 n. 2, p. 353-366en_HK
dc.identifier.issn1369-7412en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82943-
dc.description.abstractA double-bootstrap confidence interval must usually be approximated by a Monte Carlo simulation, consisting of two nested levels of bootstrap sampling. We provide an analysis of the coverage accuracy of the interval which takes account of both the inherent bootstrap and Monte Carlo errors. The analysis shows that, by a suitable choice of the number of resamples drawn at the inner level of bootstrap sampling, we can reduce the order of coverage error. We consider also the effects of performing a finite Monte Carlo simulation on the mean length and variability of length of two-sided intervals. An adaptive procedure is presented for the choice of the number of inner level resamples. The effectiveness of the procedure is illustrated through a small simulation study.en_HK
dc.languageengen_HK
dc.publisherWiley-Blackwell Publishing Ltd. The Journal's web site is located at http://www.blackwellpublishing.com/journals/RSSBen_HK
dc.relation.ispartofJournal of the Royal Statistical Society. Series B: Statistical Methodologyen_HK
dc.subjectBootstrapen_HK
dc.subjectCoverage erroren_HK
dc.subjectDouble bootstrapen_HK
dc.subjectMonte Carlo approximationen_HK
dc.subjectPercentile methoden_HK
dc.subjectResampleen_HK
dc.subjectSampling erroren_HK
dc.subjectSimulationen_HK
dc.titleThe effect of Monte Carlo approximation on coverage error of double-bootstrap confidence intervalsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0964-1998&volume=61&spage=353&epage=366&date=1999&atitle=The+effect+of+Monte+Carlo+approximation+on+coverage+error+of+double-bootstrap+confidence+intervalsen_HK
dc.identifier.emailLee, SMS: smslee@hku.hken_HK
dc.identifier.authorityLee, SMS=rp00726en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-0033481115en_HK
dc.identifier.hkuros62170en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0033481115&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume61en_HK
dc.identifier.issue2en_HK
dc.identifier.spage353en_HK
dc.identifier.epage366en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLee, SMS=24280225500en_HK
dc.identifier.scopusauthoridYoung, GA=36723800600en_HK

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