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2014-11-17Buch DOI: 10.18452/4554
Bootstrap confidence setsunder modelmisspecification
dc.contributor.authorSpokoiny, Vladimir
dc.contributor.authorZhilova, Mayya
dc.date.accessioned2017-06-16T01:09:29Z
dc.date.available2017-06-16T01:09:29Z
dc.date.created2015-05-07
dc.date.issued2014-11-17
dc.date.submitted2014-11-17
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5206
dc.description.abstractA multiplier bootstrap procedure for construction of likelihood-based congidence sets is considered for ginite samples and a possible model misspecification. Theoretical results justify the bootstrap consistency for a small or moderate sample size and allow to control the impact of the parameter dimension p: the bootstrap approximation works if p3=n is small. The main result about bootstrap consistency continues to apply even if the underlying parametric model is misspecified under the so called Small Modeling Bias condition. In the case when the true model deviates significantly from the considered parametric family, the bootstrap procedure is still applicable but it becomes a bit conservative: the size of the constructed confidence sets is increased by the modeling bias. We illustrate the results with numerical examples for misspecified constant and logistic regressions.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectlikelihood-based bootstrap confidence seteng
dc.subjectmisspecified modeleng
dc.subjectfinite sample sizeeng
dc.subjectmultiplier bootstrapeng
dc.subjectweighted bootstrapeng
dc.subjectGaussian approximationeng
dc.subjectPinsker's inequalityeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleBootstrap confidence setsunder modelmisspecification
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100229613
dc.identifier.doihttp://dx.doi.org/10.18452/4554
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages56
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2014
local.edoc.container-issue67
local.edoc.container-year2014
local.edoc.container-erstkatid2195055-6

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