自助法检验:需要多少次自助抽样?

Bootstrap tests: how many bootstraps?

Econometric Reviews · 2000
被引 453 · 同刊同年前 2%
人大 A-ABS 3

中文导读

研究了自助法检验中有限自助样本导致的检验功效损失,并提出一个简单的预检验程序来选择自助样本数量以最小化随机性。

Abstract

In practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and propose a simple pretest procedure for choosing the number of bootstrap samples so as to minimize experimental randomness. Simulation experiments suggest that this procedure will work very well in practice.

Power loss