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Unusual properties of bootstrap confidence intervals in regression problems
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  • Published: June 1989

Unusual properties of bootstrap confidence intervals in regression problems

  • Peter Hall1 

Probability Theory and Related Fields volume 81, pages 247–273 (1989)Cite this article

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  • 19 Citations

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Summary

We show that the percentile-t method, and one of the two percentile methods, have unusually good performance when employed to construct bootstrap confidence intervals in a regression setting. In the case of slope parameters, percentile-t produces two-sided intervals with coverage errorn -2, and one-sided intervals with coverage errorn -3/2, wheren is sample size. The errors are onlyn -1 in most other problems. One of the percentile methods produces critical points which are third-order correct for Efron's [11] relatively complex accelerated bias-corrected points.

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Authors and Affiliations

  1. Department of Statistics, Australian National University, G.P.O. Box 4, 2001, Canberra, ACT, Australia

    Peter Hall

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  1. Peter Hall
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Hall, P. Unusual properties of bootstrap confidence intervals in regression problems. Probab. Th. Rel. Fields 81, 247–273 (1989). https://doi.org/10.1007/BF00319554

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  • Received: 04 November 1986

  • Revised: 28 June 1988

  • Issue Date: June 1989

  • DOI: https://doi.org/10.1007/BF00319554

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Keywords

  • Confidence Interval
  • Stochastic Process
  • Probability Theory
  • Mathematical Biology
  • Regression Problem
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