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Article: A hybrid approach based on saddlepoint and importance sampling methods for bootstrap tail probability estimation

TitleA hybrid approach based on saddlepoint and importance sampling methods for bootstrap tail probability estimation
Authors
Lee, SMSWong, IOL
KeywordsBootstrap
Importance sampling
M-estimator
Saddlepoint
Tail probability
Issue Date2002
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0960-3174
Citation
Statistics And Computing, 2002, v. 12 n. 3, p. 209-217 How to Cite?
DOI: http://dx.doi.org/10.1023/A:1020742625430
AbstractWe propose a simple hybrid method which makes use of both saddlepoint and importance sampling techniques to approximate the bootstrap tail probability of an M-estimator. The method does not rely on explicit formula of the Lugannani-Rice type, and is computationally more efficient than both uniform bootstrap sampling and importance resampling suggested in earlier literature. The method is also applied to construct confidence intervals for smooth functions of M-estimands.
Persistent Identifierhttp://hdl.handle.net/10722/82773
ISSN
0960-3174
2023 Impact Factor: 1.6
2023 SCImago Journal Rankings: 0.923
ISI Accession Number ID
WOS:000178716400003
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorLee, SMSen_HK
dc.contributor.authorWong, IOLen_HK
dc.date.accessioned2010-09-06T08:33:15Z-
dc.date.available2010-09-06T08:33:15Z-
dc.date.issued2002en_HK
dc.identifier.citationStatistics And Computing, 2002, v. 12 n. 3, p. 209-217en_HK
dc.identifier.issn0960-3174en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82773-
dc.description.abstractWe propose a simple hybrid method which makes use of both saddlepoint and importance sampling techniques to approximate the bootstrap tail probability of an M-estimator. The method does not rely on explicit formula of the Lugannani-Rice type, and is computationally more efficient than both uniform bootstrap sampling and importance resampling suggested in earlier literature. The method is also applied to construct confidence intervals for smooth functions of M-estimands.en_HK
dc.languageengen_HK
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0960-3174en_HK
dc.relation.ispartofStatistics and Computingen_HK
dc.subjectBootstrapen_HK
dc.subjectImportance samplingen_HK
dc.subjectM-estimatoren_HK
dc.subjectSaddlepointen_HK
dc.subjectTail probabilityen_HK
dc.titleA hybrid approach based on saddlepoint and importance sampling methods for bootstrap tail probability estimationen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0960-3174&volume=12&spage=209&epage=217&date=2002&atitle=A+hybrid+approach+based+on+saddlepoint+and+importance+sampling+methods+for+bootstrap+tail+probability+estimationen_HK
dc.identifier.emailLee, SMS: smslee@hku.hken_HK
dc.identifier.emailWong, IOL: iolwong@hku.hken_HK
dc.identifier.authorityLee, SMS=rp00726en_HK
dc.identifier.authorityWong, IOL=rp01806en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1023/A:1020742625430en_HK
dc.identifier.scopuseid_2-s2.0-0141792087en_HK
dc.identifier.hkuros75667en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0141792087&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume12en_HK
dc.identifier.issue3en_HK
dc.identifier.spage209en_HK
dc.identifier.epage217en_HK
dc.identifier.isiWOS:000178716400003-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridLee, SMS=24280225500en_HK
dc.identifier.scopusauthoridWong, IOL=7102513940en_HK
dc.identifier.issnl0960-3174-

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