modified reg analysis

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Morten Hjorth-Jensen
2018-09-12 19:24:01 +02:00
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@@ -1605,53 +1605,16 @@ o It is relatively simple to apply the bootstrap to complex data-collection plan
\textcite{efron_jackknife_1987}
explains that resampling methods
'scramble' the observations which describe the parameter
$\vec{\theta}$ in some way. The purpose of scrambling the data is to
obtain useful estimates of the probability distribution of the
estimator $\widehat{\vec{\theta}}$. This is often done if deriving the
distribution of $\widehat{\vec{\theta}}$ by analytical means is
impossible or inconvenient. The significance of this is reflected in
that Efron's original paper has more than 16 000 citations by early
spring 2018. Although these citations have come from all the sciences,
a lot of work has been done by statisticians and mathematicians. On
'Web of Science', a search for the topic \textit{bootstrap} returns
nearly 6 500 papers in journals on statistics and probability theory
alone. A similar search on 'Scopus' returns more than 7 000 papers in
the field of mathematics. In addition, there has been a renaissance in
the study of resampling methods in the 21st century, with more than 6
000 papers in just 18 years in mathematics. Part of the reason is
that, even though the ideas which will be presented here seem innocent
and simple, the required mathematics is deep. In fact, there exists
conjectures too deep for present mathematics
\parencite{efron_jackknife_1987}. This will become apparent to us
because often we will only give intuitive explanations for why the
methods are valid. We could have done substantially more with measure
theory in place, but this is not economical in light of the present
results. However, using our introduction to real analysis, it is
possible to state and understand a few results in some detail. See for
example theorem \ref{thm:independent_strap_frechet}.\\ \\ Two famous
resampling methods are \textit{the independent bootstrap} and
\textit{the jackknife}. It would make most sense to start by
discussing the independent bootstrap, because the jackknife method
follows by making a linearization of the parameters of interest
\parencite{efron_jackknife_1987,efron_bootstrap_1979}. As such, the
jackknife is a special case of the independent bootstrap
\parencite{efron_jackknife_1987}. Still, the jackknife was made
Two famous
resampling methods are \textit{the independent bootstrap} and \textit{the jackknife}.
The jackknife is a special case of the independent bootstrap. Still, the jackknife was made
popular prior to the independent bootstrap. And as the popularity of
the independent bootstrap soared, new variants, such as \textit{the
dependent bootstrap}\footnote{We will only consider non-parametric
bootstrap, but there exists a popular variant called parametric
bootstrap, which assumes knowledge of the probability distribution
of the observations} or stationary bootstrap were introduced, see
for example \textcite{politis_stationary_1994} or
\textcite{politis_automatic_2006}. There also exists textbooks on the
subject. The mathematical complexity of the latter variants is also
greater, and consequently it is pedagogical to introduce the methods
in this order.\\ \\ The Jackknife and independent bootstrap work for
independent, identically distributed random variables
\parencite{efron_jackknife_1987}. If these conditions are not
the independent bootstrap soared, new variants, such as _the dependent bootstrap_.
The Jackknife and independent bootstrap work for
independent, identically distributed random variables.
If these conditions are not
satisfied, the methods will fail. This is important for the results of
the thesis, because here the variables are dependent, and we will need
the dependent bootstrap. Yet, it should be said that if the data are