On the Choice of m in the m Out of n Bootstrap and its Application to Confidence Bounds for Extreme Percentiles
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چکیده
The m out of n bootstrap Bickel et al. [1997], Politis and Romano [1994] is a modification of the ordinary bootstrap which can rectify bootstrap failure when the bootstrap sample size is n. The modification is to take bootstrap samples of size m where m → ∞ and m/n→ 0. The choice of m is an important matter, in general. In this paper we consider an adaptive rule proposed by Bickel, Götze and van Zwet (personal communication) to pick m. We give general sufficient conditions for validity of the rule and then examine its behavior in AMS 1991 subject classification. Primary 62G09; secondary 62G20, 62G30.
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تاریخ انتشار 2005