General Bootstrap for Dual phi-Divergence Estimates

被引：17
|
作者：
Bouzebda, Salim [1 ,2 ]
Cherfi, Mohamed [2 ]
机构：
[1] Univ Technol Compiegne, Lab Math Appl, BP 529, F-60205 Compiegne, France
[2] Univ Paris 06, LSTA, F-75252 Paris 05, France
来源：
JOURNAL OF PROBABILITY AND STATISTICS | 2012年 / 2012卷
关键词：
D O I：
10.1155/2012/834107
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A general notion of bootstrapped phi-divergence estimates constructed by exchangeably weighting sample is introduced. Asymptotic properties of these generalized bootstrapped phi-divergence estimates are obtained, by means of the empirical process theory, which are applied to construct the bootstrap confidence set with asymptotically correct coverage probability. Some of practical problems are discussed, including, in particular, the choice of escort parameter, and several examples of divergences are investigated. Simulation results are provided to illustrate the finite sample performance of the proposed estimators.
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页数：33
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