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

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How can I estimate (with confidence intervals) the divergence between two smoothing splines?

I have time series data from two independent groups. I want to know whether these groups diverge over time and, if so, when they diverge and for how long. The way I have done this is to estimate ...
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19 views

Estimating Standard Errors for Markov Transition Probability with Multiple Observations (in R)

I was trying to estimate a Markov transition table from paired transition data, which look something like this: ...
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1answer
32 views

Can I use bootstrapping in this situation?

I'm faced with a situation where there are few observations of a life insurance product in some cells, where the observations are deaths. The problem is that I need to calculate standard deviations ...
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13 views

Need to transform data before running mediation/model with bootstrapping (PROCESS)?

I am reading through Hayes' book on mediation and moderation analysis (2013) which describes the PROCESS macro he created to use bootstrapping in order to arrive to confidence intervals to check the ...
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1answer
37 views

Can I Calculate the MSE for a Linear Regression Model using a Bootstrap?

I'm currently reading the book, An Introduction to Statistical Learning, and I'm struggling a little with the bootstrap approach. As far as I understand, I can use a bootstrap in almost all situations ...
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19 views

Follow-on to “Training with the full dataset after cross-validation” - sequential parameter estimation

Background: Here is the background for the question, both the question itself and the answer given by Dikran Marsupial. Training with the full dataset after cross-validation? It asks about after ...
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33 views

Bootstrapping interaction effects with boot() and the effects package - environment problems?

UPDATE AT BOTTOM - workaround and exciting new roadblock! UPDATE #2: SOLVED. Details at bottom. This is a combination stats/programming question, so I apologize if it should go somewhere else. I'm ...
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25 views

Evaluating a fixed classifier

I have a classifier that is fixed and wish to evaluate its predictive performance using a test dataset. I'm familiar with the situation (e.g. in k-fold CV) where the data is split and the classifier ...
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13 views

Calculate standard error in state space model in R

I am estimating a DFM in state space form in R. I have used the function spg from the package BB (optim was not working) and dlm to optimize so now I have the parameters of the filter. I now would ...
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18 views

Batched bootstrap for non-parametric confidence intervals

I am conducting multiple experiments on moderately large datasets that run over several weeks. I would like to construct confidence intervals for my estimators which are a mixture of means and ratio ...
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6 views

Bootstrapping with random effects in SPSS

I'd like to use bootstrapping in my two-way ANOVA containing two fixed and one random factor. Why is the bootstrapping method not available (greyed out) for models containing a random factor? Thanks! ...
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38 views

Validating Bootstrapped Probability of Survival Results From Small Sample Size Data

Quite often in industry, due to cost and schedule constraints, decisions must be made on small sample size data. I have 4 cycles-to-failure values resulting from running samples to failure in a ...
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47 views

Bootstrapping some statistics with non-normal data

I am new to bootstrapping. Assume I have some non-normal data, can be any distribution, it doesn't matter, and I want to find a confidence interval for the mean, median and standard deviation. For the ...
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62 views

Are there problems with arbitrary application of bootstrap?

Suppose I have a statistics (say a price index) and I want to obtain standard errors for it. I have heard that blind application of bootstrap may not be a good practice. If true 1- What could go ...
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2answers
24 views

Confidence bands for difference of time series

Assume that I have two time series $Y_{1t}$ and $Y_{2t}$ that are sampled at the same frequency. Is there a way to quantify the uncertainty in their difference $Y_{1t} - Y_{2t}$? That is, can we get ...
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17 views

Bootstrapping in SAS - PROC LOGISTIC - Next steps ? how to score / perform diagnostics?

My question is as follows. I am referencing the following paper by David Cassell - wherein David talks about bootstrapping techniques in SAS using PROC SURVEYSELECT (many thanks to David - truly a ...
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29 views

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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1answer
47 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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79 views

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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33 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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28 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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4answers
631 views

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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185 views

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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16 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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1answer
31 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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31 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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37 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
39 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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16 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
47 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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176 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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28 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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1answer
40 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
69 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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12 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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78 views

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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30 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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16 views

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
62 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
76 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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1answer
242 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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60 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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18 views

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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20 views

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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86 views

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 ...