Tagged Questions
1
vote
1answer
70 views
Compute the variance of parameter estimates given limited number of samples
I'd like to infer the variance of estimated parameter $\hat\theta$ of the density function of $f(x;\theta)$ given only a limited number of samples $X_1,\cdots,X_n$.
Bootstrapping doesn't perform well ...
0
votes
0answers
214 views
Variance Covariance matrix of regression coefficients
In a procedure, I am resampling (bootstrapping) from a Y vector and X matrix.
For each resample, I standardize.
Then I run a linear model, and obtain the regression coefficients for each variable of ...
2
votes
1answer
135 views
Bootstrap confidence intervals for partitioned variances in R
I'm trying to determine the variance partitioning within plant drought tolerance data among hierarchical ecological levels, from species to forest sites to biome levels. I did that with the varcomp ...
1
vote
1answer
92 views
Are $\sigma_{70\%} = cte * \sigma /\sqrt{N}$, & $\sigma_{\bar x_{70\%}} = cte * \sigma /\sqrt{N}$ valid with non-normal distributions?
My working population is non normally distributed and from time to time I need to take a sample of it. Sometimes my sample exists of 100 units, at other times of 150 units. Of my sample I calculate ...
2
votes
1answer
208 views
“Studentized” bootstrap confidence interval for variance of OLS error terms
Suppose that one has the usual regression model $\mathbf{y} = \mathbf{X} \boldsymbol{\beta} + \boldsymbol{\varepsilon}$, where each $\varepsilon_t$ is iid distributed with $\mathbb{E}(\varepsilon_t) = ...
1
vote
1answer
134 views
Bootstrap data in order to get an estimate of the variance
I have a return series of 60 obs. From this returns I compute a non parametric measure.
What is the best way in your opinion to get a consistent estimate of the variance of this measure?
I did it in ...
2
votes
0answers
161 views
Bootstrap variance of squared sample mean
The following is question 8 of chapter 8 in Wasserman's All of Statistics:
Let $T_n = \overline{X}_n^2$, $\mu = \mathbb{E}(X_1)$,
$\alpha_k = \int|x - \mu|^kdF(x)$, and $\hat{\alpha}_k = ...
4
votes
0answers
224 views
How does pooling and resampling affect variance of sample mean?
Suppose I have $N$ independent random variables $X_n$. I draw a sample of predetermined size $K_n$ from each of them. Denote the average of each sample $\bar{\hat{X}}_n$, and the total number of ...
1
vote
1answer
255 views
Choosing N when doing t-tests on bootstrapped samples
Specifically the Welch's T-Test, but probably any T-Test, requires a value for Mean, Variance and N to be used to calculate the T-statistic and the degrees of freedom. I am concerned about these ...
5
votes
2answers
1k views
Using bootstrap for glm coefficients variance estimation (in R)
I am fitting a GLM model (in R), and would like to get an estimation of the variability of the coefficients estimated by the model.
If I understand it correctly the method to use in such a case is ...
