ITERATING THE m OUT OF n BOOTSTRAP IN NONREGULAR SMOOTH FUNCTION MODELS
نویسندگان
چکیده
In nonregular smooth function models with vanishing first derivative, the conventional bootstrap is known to be inconsistent, whereas the m out of n bootstrap is consistent. We explore the effects of iterating the m out of n bootstrap on coverage accuracy of bootstrap percentile confidence intervals in such models, and develop a special iterative scheme which outperforms the non-iterated m out of n bootstrap in terms of asymptotic coverage accuracy. Several numerical examples are presented to motivate our development and illustrate its theoretical findings.
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