Improving the reliability of bootstrap tests with the fast double bootstrap

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Auteurs
Date

2006

Discipline
Type de document
Périmètre
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Identifiants
Source

HAL SHS (Sciences de l’Homme et de la Société)

Collection

Archives ouvertes

Organisation

Centre pour la communication scientifique directe

Licence

info:eu-repo/semantics/OpenAccess

Mots-clés Af

Bootstrap

Sujets proches En

Competitive examinations Tests

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Russell Davidson et al., « Improving the reliability of bootstrap tests with the fast double bootstrap », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.eb13c0...

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Résumé 0

Two procedures are proposed for estimating the rejection probabilities of bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive (per replication) as estimating rejection probabilities for asymptotic tests. Then a new procedure is proposed for computing bootstrap P values that will often be more accurate than ordinary ones. This “fast double bootstrap” is closely related to the double bootstrap, but it is far less computationally demanding. Simulation results for three different cases suggest that the fast double bootstrap can be very useful in practice.

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