ON CHOICE OF m FOR THE m OUT OF n BOOTSTRAP IN HYPOTHESIS TESTING
نویسنده
چکیده
This paper considers the use of the m out of n bootstrap (Bickel, Goetze and van Zwet, 1994) in setting critical values for a quite general class of hypothesis testing problems. We show that the usual n out of n nonparametric bootstrap generally fails to estimate the null distribution of the test statistics, and that if the m o(n) out of n bootstrap is used to set the critical value of the tests, the procedure is asymptotically consistent. The critical issue of choice of m is considered and a method of selecting m is proposed. We show that the proposed method of selecting m is asymptotically consistent, and present some simulation results on the proposed method. AMS 1991 subject classifications. 62G09, 62G10.
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