Tie-respecting bootstrap methods for estimating distributions of sets and functions of eigenvalues
Hall, Peter ; Lee, Young K. ; Park, Byeong U. ; Paul, Debashis
Bernoulli, Tome 15 (2009) no. 1, p. 380-401 / Harvested from Project Euclid
Bootstrap methods are widely used for distribution estimation, although in some problems they are applicable only with difficulty. A case in point is that of estimating the distributions of eigenvalue estimators, or of functions of those estimators, when one or more of the true eigenvalues are tied. The m-out-of-n bootstrap can be used to deal with problems of this general type, but it is very sensitive to the choice of m. In this paper we propose a new approach, where a tie diagnostic is used to determine the locations of ties, and parameter estimates are adjusted accordingly. Our tie diagnostic is governed by a probability level, β, which in principle is an analogue of m in the m-out-of-n bootstrap. However, the tie-respecting bootstrap (TRB) is remarkably robust against the choice of β. This makes the TRB significantly more attractive than the m-out-of-n bootstrap, where the value of m has substantial influence on the final result. The TRB can be used very generally; for example, to test hypotheses about, or construct confidence regions for, the proportion of variability explained by a set of principal components. It is suitable for both finite-dimensional data and functional data.
Publié le : 2009-05-15
Classification:  adaptive inference,  bootstrap diagnostic,  confidence interval,  confidence region,  functional data analysis,  multivariate analysis,  percentile bootstrap,  principal component analysis,  spectral decomposition
@article{1241444895,
     author = {Hall, Peter and Lee, Young K. and Park, Byeong U. and Paul, Debashis},
     title = {Tie-respecting bootstrap methods for estimating distributions of sets and functions of eigenvalues},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 380-401},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1241444895}
}
Hall, Peter; Lee, Young K.; Park, Byeong U.; Paul, Debashis. Tie-respecting bootstrap methods for estimating distributions of sets and functions of eigenvalues. Bernoulli, Tome 15 (2009) no. 1, pp.  380-401. http://gdmltest.u-ga.fr/item/1241444895/