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March, 1982 Estimated Sampling Distributions: The Bootstrap and Competitors
Rudolf Beran
Ann. Statist. 10(1): 212-225 (March, 1982). DOI: 10.1214/aos/1176345704


Let $X_1, X_2, \cdots, X_n$ be i.i.d random variables with d.f. $F$. Suppose the $\{\hat{T}_n = \hat{T}_n(X_1, X_2, \cdots, X_n); n \geq 1\}$ are real-valued statistics and the $\{T_n(F); n \geq 1\}$ are centering functionals such that the asymptotic distribution of $n^{1/2}\{\hat{T}_n - T_n(F)\}$ is normal with mean zero. Let $H_n(x, F)$ be the exact d.f. of $n^{1/2}\{\hat{T}_n - T_n(F)\}$. The problem is to estimate $H_n(x, F)$ or functionals of $H_n(x, F)$. Under regularity assumptions, it is shown that the bootstrap estimate $H_n(x, \hat{F}_n)$, where $\hat{F}_n$ is the sample d.f., is asymptotically minimax; the loss function is any bounded monotone increasing function of a certain norm on the scaled difference $n^{1/2}\{H_n(x, \hat{F}_n) - H_n(x, F)\}$. The estimated first-order Edgeworth expansion of $H_n(x, F)$ is also asymptotically minimax and is equivalent to $H_n(x, \hat{F}_n)$ up to terms of order $n^{- 1/2}$. On the other hand, the straightforward normal approximation with estimated variance is usually not asymptotically minimax, because of bias. The results for estimating functionals of $H_n(x, F)$ are similar, with one notable difference: the analysis for functionals with skew-symmetric influence curve, such as the mean of $H_n(x, F)$, involves second-order Edgeworth expansions and rate of convergence $n^{-1}$.


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Rudolf Beran. "Estimated Sampling Distributions: The Bootstrap and Competitors." Ann. Statist. 10 (1) 212 - 225, March, 1982.


Published: March, 1982
First available in Project Euclid: 12 April 2007

zbMATH: 0485.62037
MathSciNet: MR642733
Digital Object Identifier: 10.1214/aos/1176345704

Primary: 62G05
Secondary: 62E20

Keywords: asymptotic minimax , bootstrap estimates , Edgeworth , jackknife , sampling distribution

Rights: Copyright © 1982 Institute of Mathematical Statistics

Vol.10 • No. 1 • March, 1982
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