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Smoothed and iterated bootstrap confidence regions for parameter vectors

*Corresponding author for this work
  • Wayne State University
    ,
  • Northern Illinois University
Scholary Output:
Contribution to journal
Article
Peer-review

Open access

Abstract

The construction of confidence regions for parameter vectors is a difficult problem in the nonparametric setting, particularly when the sample size is not large. We focus on bootstrap ellipsoidal confidence regions. The bootstrap has shown promise in solving this problem, but empirical evidence often indicates that the bootstrap percentile method has difficulty in maintaining the correct coverage probability, while the bootstrap percentile-. t method may be unstable, often resulting in very large confidence regions. This paper considers the smoothed and iterated bootstrap methods to construct the bootstrap percentile method ellipsoidal confidence region. The smoothed bootstrap method is based on a multivariate kernel density estimator. An optimal bandwidth matrix is established for the smoothed bootstrap procedure that reduces the coverage error of the bootstrap percentile method. We also provide an analytical adjustment to the nominal level to reduce the computational cost of the iterated bootstrap method. Simulations demonstrate that the methods can be successfully applied in practice.

Publication Information

Output type

Scholary Output:
Contribution to journal
Article
Peer-review

Original language

English (US)

Pages from-to (Number of pages)

Pages 171-182 (12 pages)

Journal (Volume, Issue Number)

Journal of Multivariate Analysis (Volume 132)

Publication milestones

  • Published - 11/01/2014

Publication status

Published - 11/01/2014

ISSN

0047-259X

Publication IDs

  • Scopus: 84908335375

Publication metrics

Metrics

Scopus
citations
Fractional count
1
Fractional count
0.50
Fractional count
1
Fractional count
0.50
Fractional count
1
Fractional count
1
SciVal
citations
3
SciVal
FWCI
0.19
SciVal
Author count
2
SciVal
Paper percentile
46

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5
Citation count
7