The bootstrap is a resampling method to estimate the sampling distribution of a statistic.

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State Space models with Short Time Series

My problem is that I have a state space model that I estimate using the Berndt–Hall–Hall–Hausman (BHHH) algorithm. The state space model is relatively simple in that the hidden part follows a pure ...
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35 views

Relative increase between two pairs of samples

Consider the following samples from four distributions: $a = \{20, 2, 200\} \qquad\qquad c = \{1, 10, 100\}$ $b = \{22, 2.2, 220\} \qquad\quad\:\,d = \{1.2, 12, 120\}$ I would like to say that the ...
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Why does the scikit-learn bootstrap function resample the test set?

When using bootstrapping for model evaluation, I always thought the out-of-bag samples were directly used as a test set. However, this appears not to be the case for the scikit-learn bootstrap ...
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25 views

Bootstrapping results for p-values of trading rule profit significance

I want to obtain p-values for the significance of trading rule profits as described by LeBaron and Brock (1992). The author's use what is developed by Efron (1973) called Bootstrapping. It goes like ...
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27 views

Lower Bound of Bootstrapped CI Out-of-Range

I am using the boot package in R to bootstrap confidence intervals around an estimate of the median. The data is skewed, but the estimator is not biased, thus I am using the Basic Interval. The data ...
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Can bootstrap be seen as a “cure” for the small sample size?

This question has been triggered by something I read in this graduate-level statistics textbook and also (independently) heard during this presentation at a statistical seminar. In both cases, the ...
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Bootstrap: the issue of overfitting

Suppose one performs the so-called non-parametric bootstrap by drawing $B$ samples of size $n$ each from the original $n$ observations with replacement. I believe this procedure is equivalent to ...
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10 views

Bootstrap of parameter estimates and confidence intervals (hurdle model)

Think you can help with this. I´ve run a set of candidate hurdle models on insect abundance data with pscl package for R. These models had an abundance part with a truncated negative binomial ...
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30 views

How to interpret if my sample statistic is way out in the tail of the bootstrap distribution

I use bootstrapping to generate the distribution / histogram of my sample statistic and find out that the value of my real sample statistic is way out in the tail. What does this mean? Does it mean ...
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19 views

Bootstrap test for determining 'core' categories

I have a large data set with a particularly huge number of categories, which are populated unevenly. That is, most of the categories are unobserved in a 3 million sample, and some categories are way ...
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30 views

Why (mathematically) is the parametric bootstrap usually better than the empirical one?

As I know from experience, the parametric bootstrap performs better in terms of coverage probability for confidence intervals then the empirical bootstrap. Of course, this makes sense because you put ...
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Obtaining Standard Error of Weighted Averages using Bootstrapping?

My problem is finding a way to estimate the standard error of a flow-weighted mean concentration. The FWMC is computed by summing the years flow * concentration measurements and dividing by the sum of ...
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34 views

Selecting individuals from a population using a binary classifier

I have a dataset consisting of around 200 individuals, whose outcome is either of state $0$ or $1$. I am able to make binary classifiers and predictors on this set and build ROC-curves for them just ...
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9 views

Confidence intervals and bootstrapping stochastic processes

I am currently using a stochastic method for prediction that only reports my parameter of interest $\widehat{T}$ and does not report confidence intervals, though I would like them. I understand that ...
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2answers
28 views

Convergence errors in parametric bootstraps (PBmodcomp) of lmer models

I am using PBmodcomp from the pbkrtest to perform a parametric bootstrap model comparison. However, for some of the comparisons a warning message stating that the models failed to converge appear. A ...
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8 views

When fitting a model in Amos with ordinal data do I use Bollen stine adjustment or Baysian techniques?

I am trying to run a model validation/fit in AMOS using 18 items and three factors. The data is ordinal (1-4 scale) for each item. My data is non-normal both on a univariate and multivariate level. I ...
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1answer
44 views

Convergence Issues for Bootstrap Distributions

the following is part of a proof from van der Vaarts book on asymptotic statistics: I want to show that if for a continuous distribution function F ...
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1answer
159 views

Is bootstrapping appropriate for this continuous data?

I'm a complete newbie :) I'm doing a study with a sample size of 10,000 from a population of about 745,000. Each sample represents a "percentage similarity". The great majority of the samples are ...
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27 views

Using bootstrapping simulation to compare estimators in survey

I would like to estimate the mean of a population and select a best estimator with minimum variance of the estimated mean. Suppose that I have two estimators est1 and est2, and they could refer to any ...
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49 views

Compute confidence interval of Y/X, where Y and X are from different survey dataset?

Is it possible (and if so, how) to compute the confidence intervals of $\frac Y X$, where: $Y$ is the occurrence of events during a given period of time, and $X$ is the exposure of events during ...
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1answer
34 views

Using empirical null distribution to adjust odds ratios

I am doing a case-control study analysis with 2500 cases and 2500 controls. I am interested in finding out if the cases have higher odds of having a particular disease than the controls, so I am ...
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1answer
65 views

Bootstrap Confidence Intervals for Weir & Cockerham's Fst

I'm working on calculating bootstrap confidence intervals for Weir & Cokerham's Fst. I want to use the percentile-t method as described in this paper. I'm calculating the $F_{st}$ value between ...
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11 views

Bootstrap confidence bands for time series data

I have time series data for 30 people. The data is knee joint angle versus percent of gait cycle, with data at every 1% of the cycle. I can easily find the mean joint angle at every 1% of the gait ...
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Simulated MLE does not exist, when trying to Bootstrap likelihood combinant

Consider this simple logistic model: We have ten $0/1$ observations $y_1,...,y_{10}.$ We model with an intercept and a predictor variable.The ten first observations have predictor value $X_i=0$, ...
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SPSS: Pearson's r not significant but confidence intervals do not include 0

I have calculated the value of Pearson's r between two variables in SPSS, two tailed. Sample size is 81. The r value is -.21. The p value is .06. When I compute the 95% confidence intervals using ...
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29 views

code assistance - how to bootstrap and plot paths with a mixed model

I created an Arima (3,1,1) model using the steps below. I was able to create a nonparametric model, but now I would like bootstrap for the created model (model 3). Also I'd like to plot the paths of ...
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31 views

Bayesian method for computing credibility interval for correlated time series

I'm studying a stochastic process generated by simulation using two different methods. In the first, the waiting time between events can be shown to be exponentially distributed. To model the ...
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Aggregate stock return predictive panel analysis

I am trying to run a panel OLS predictive regression on stock returns for 7 countries using 8 macro economic variables. I have already done the simple linear regression analysis that has highlighted ...
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1answer
59 views

How to compare models from different but related datasets?

I'm building regression models on four the different but related data set and at the end, I want to test the significance of models. Since my models are built in a different data set, it's not ...
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1answer
70 views

Testing for the significance of the difference-in-differences of adj. R²

Is there a way to test for the significance of the difference-in-differences in adj. R²s in Stata? Let's say I have four subgroups: pre-treatment, pre-control, post-treatment, post-control and I want ...
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211 views

Why doesn't regression results change after bootstrap?

I learned bootstrap is used to treat non-normality of residual and it basically does resampling. I did bootstrapping on Stata and compared the result with normal regression. ...
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52 views

Number of distinct bootstrap samples

For $n$ distinct observations, there are ${2n - 1 \choose n-1}$ distinct bootstrap (re)samples. Could someone please provide a simple explanation? I found ...
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Using bootstrap to compare two ensemble correlations

I am asking for your help because I'm not sure whether the procedure I'm using is correct. I have two models, M1 and M2, and for each of them I have ten instances (ensemble members). For each model ...
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Bootstrapping a MST in R

I have a data matrix on GDP growth for particular countries for a particular period of time. From this matrix I get the correlation matrix. After that I use a nonlinear tranformation to obtain a ...
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Anderson-Darling test in 2D time series

Suppose two time series (of light flux). The goal is to determine whether the series are from the same distribution. It is usual to use the Kolmogorov-Smirnov (KS) test in this situation. However, ...
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Validating a multivariate categorical model

I assume that my population is a sample of an unknown multivariate categorical distribution $\mathbf{X} = (X_1, X_2, \ldots, X_k)$. From this population, a sample $\mathbf{X^*}$ is available, I assume ...
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1answer
156 views

Calculate a 95% confidence interval and p-value for the change in C-statistic using bootstrap with R

I am using boot() and boot.ci() to furnish confidence intervals for the difference in the $c$-statistic (AUC) between models ...
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135 views

Any alternative way to compute standard errors for maximum likelihood estimates?

I am dealing with an example stated in here. Given the same data in the above link and following a parametric bootstrap method suggested in here, I computed the standard errors for maximum ...
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398 views

resampling / simulation methods: monte carlo, bootstrapping, jackknifing, cross-validation, randomization tests, and permutation tests

I am trying to understand difference between different resampling methods (Monte Carlo simulation, parametric bootstrapping, non-parametric bootstrapping, jackknifing, cross-validation, randomization ...
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33 views

Bootstrap hypothesis testing with small sample sizes

I have 2 campaigns (a control and a test campaign), the data are like this: ...
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Wild Bootstrap F-test

Is anyone aware of code for a wild bootstrap F-test? Namely, testing joint significance of several coefficients where the standard errors of each coefficient are computed using a wild bootstrap. The ...
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Why are BCa bootstrap confidence intervals second order exact?

I've just come across a statement in Good, P. I.: Resampling methods. Springer, 2001 and wondered if someone could explain it to me. If you want to construct a 95% confidence interval for, let's ...
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Where does the bootstrap beat the “classical” estimates?

Although this question is kind of similar to Please provide an example of when bootstrap has less bias than classically approximated estimates? I would like to look at the topic from a more general ...
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Heuristics for unsupervised or semi-supervised approaches to GIS coordinate data

I have a more conceptual/heuristic question about how to go about formulating a problem in order to take a semi- or unsupervised method of solving it. I'm working on a project with data collected ...
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86 views

Internal validation via bootstrap: What ROC curve to present?

I am using the bootstrap approach for internal validation of a multivariate model built with either standard logistic regression OR elastic net. The procedure I use is as follows: 1) build model ...
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1answer
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Justification for the Bootstrap Percentile Interval

The following is a proof of the validity of the (bootstrap) percentile interval taken from Larry Wasserman's "All of Statistics". $\theta^*_{\alpha/2}$ and $\theta^*_{1-\alpha/2}$ denote the ...
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If coefficient variance is incorrect (for a regression parameter), does that mean the model's log-likelihood is incorrect?

I am using logistic regression to estimate ~probability of a sample unit being used by an animal. Due to my sampling design it is unavoidable that there is overlap between 'used' sample units and ...
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157 views

Bootstrap test for correlation coefficient

I want to test the hypothesis that correlation coefficient between X and Y is 0 with a bootstrap, however I don't know which is a correct way to construct bootstrap samples. I have several ideas, ...
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1answer
26 views

How to define Confidence Intervals from a distribution of 1000 t-statistics?

I have a vector of length 300 containing some kind of values (say, scores of a math test). The distribution is not normal. I want to test if the average score of a small group (30 samples) is ...
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106 views

correlation of bootstrap sample means

Given a sample $\{x_1,\dots,x_n\}$, $z_1$ and $z_2$ are two bootstrap realizations of sample means, that is, $$z_1 = \frac{1}{n}\sum\{x\in\text{bootstrap sample 1}\}$$ $$z_2 = ...