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 in some information about the distribution and that is used to reduce the error. However, thats not really a mathematical description of what is going on ...

Books such as Efron/Tibshirani don't go into details. Van der Vaarts Asymptotic Statistics only covers higher order consistency for studentized vs unstudentized intervals. I think Hall doesn't write anything about it either...

Can I read up on this somewhere?

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    $\begingroup$ Is it really better? If you simulated a normal sample and did a parametric bootstrap assuming normal distribution, then of course you are in a perfect world. But if you simulated an exponentially distributed sample and did a parametric bootstrap assuming gamma or Weibull, would the parametrics bootstrap still be better? What if you assumed lognormal or, worse yet, normal? I personally think parametric bootstrap is your last resort when you cannot get to the empirical distribution of interest (e.g., in multilevel and small area models, DOI: 10.1111/j.1467-9868.2006.00541.x). $\endgroup$ – StasK Aug 14 '14 at 16:54
  • $\begingroup$ Well i guess, of course, it depends - in that perfect world, it does. For my BSc thesis i simulated from a bivariate normal distribution and calculated different CIs for the correlation coefficient to compare actual coverage. With Fisher Transformation, i get the nominal 95%, with parametric bootstrap, i get around 93% and with nonparametric its about 91%, BCa is 92%. But using the (real world) lawschool dataset from the bootstrap package, the differences get a bit smaller but parametric is still the best bootstrap. $\endgroup$ – BootstrapBill Aug 16 '14 at 8:39
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    $\begingroup$ Can you explain how you determined the best bootstrap for the lawschool dataset? $\endgroup$ – eric_kernfeld Feb 17 '18 at 23:31
  • $\begingroup$ Can you be a bit more specific? It's been a while but I could have look at my thesis (unfortunately it's in german, otherwise I'd offer to send it) $\endgroup$ – BootstrapBill Feb 20 '18 at 8:56

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