Block bootstrap optimality and empirical block selection for sample quantiles with dependent data
File(s)main-biometrika-resubmission(2020-06-29).pdf (317.81 KB)
Accepted version
Author(s)
Lee, Stephen MS
Kuffner, Todd
Young, George
Type
Journal Article
Abstract
We establish a general theory of optimality for block bootstrap distribution estimation for sample quantiles under mild strong mixing conditions. In contrast to existing results, we study the block bootstrap for varying numbers of blocks. This corresponds to a hybrid between the sub- sampling bootstrap and the moving block bootstrap, in which the number of blocks is between 1 and the ratio of sample size to block length. The hybrid block bootstrap is shown to give theoretical benefits, and startling improvements in accuracy in distribution estimation in important practical settings. The conclusion that bootstrap samples should be of smaller size than the original sample has significant implications for computational efficiency and scalability of bootstrap methodologies with dependent data. Our main theorem determines the optimal number of blocks and block length to achieve the best possible convergence rate for the block bootstrap distribution estimator for sample quantiles. We propose an intuitive method for empirical selection of the optimal number and length of blocks, and demonstrate its value in a nontrivial example.
Date Issued
2021-09-01
Date Acceptance
2020-06-18
Citation
Biometrika, 2021, 108 (3), pp.675-692
ISSN
0006-3444
Publisher
Oxford University Press
Start Page
675
End Page
692
Journal / Book Title
Biometrika
Volume
108
Issue
3
Copyright Statement
© 2020 Biometrika Trust. . This is a pre-copy-editing, author-produced version of an article accepted for publication in Biometrika following peer review. The definitive publisher-authenticated version is available online at: https://doi.org/10.1093/biomet/asaa075
Identifier
https://academic.oup.com/biomet/article/108/3/675/5905470
Subjects
Science & Technology
Life Sciences & Biomedicine
Physical Sciences
Biology
Mathematical & Computational Biology
Statistics & Probability
Life Sciences & Biomedicine - Other Topics
Mathematics
Hybrid block bootstrap
Optimality
Sample quantile
Subsampling
Weak dependence
ASYMPTOTIC ACCURACY
Science & Technology
Life Sciences & Biomedicine
Immunology
Infectious Diseases
Microbiology
Hybrid block bootstrap
Optimality
Sample quantile
Subsampling
Weak dependence
ASYMPTOTIC ACCURACY
Statistics & Probability
0103 Numerical and Computational Mathematics
0104 Statistics
1403 Econometrics
Notes
Under consideration by Bernoulli
Publication Status
Published
Date Publish Online
2020-09-14