摘要翻译:
本文对Chernoff(1964)型极限分布的M-估计量提出了一个有效的基于Bootstrap的分布逼近。对于这类估计量,标准的非参数bootstrap是不一致的。本文提出的方法基于非参数自举,但通过改变定义估计量的准则函数的形状来恢复一致性,估计量的分布是我们寻求逼近的。这种修改导致了一种通用的、易于实现的推理重采样方法,它在概念上不同于其他可用的分布近似。我们用计量经济学和机器学习中的四个例子来说明我们的结果的适用性。
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英文标题:
《Bootstrap-Based Inference for Cube Root Asymptotics》
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作者:
Matias D. Cattaneo and Michael Jansson and Kenichi Nagasawa
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最新提交年份:
2020
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分类信息:
一级分类:Mathematics 数学
二级分类:Statistics Theory 统计理论
分类描述:Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计:例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Statistics 统计学
二级分类:Methodology 方法论
分类描述:Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计,调查,模型选择,多重检验,多元方法,信号和图像处理,时间序列,平滑,空间统计,生存分析,非参数和半参数方法
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一级分类:Statistics 统计学
二级分类:Statistics Theory 统计理论
分类描述:stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近,贝叶斯推论,决策理论,估计,基础,推论,检验。
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英文摘要:
This paper proposes a valid bootstrap-based distributional approximation for M-estimators exhibiting a Chernoff (1964)-type limiting distribution. For estimators of this kind, the standard nonparametric bootstrap is inconsistent. The method proposed herein is based on the nonparametric bootstrap, but restores consistency by altering the shape of the criterion function defining the estimator whose distribution we seek to approximate. This modification leads to a generic and easy-to-implement resampling method for inference that is conceptually distinct from other available distributional approximations. We illustrate the applicability of our results with four examples in econometrics and machine learning.
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PDF链接:
https://arxiv.org/pdf/1704.08066