On Symmetric Bootstrap Confidence Intervals
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SUMMARY It is shown that in quite general circumstances, symmetric percentile-t bootstrap confidence intervals have coverage error O(n –2), where n denotes sample size. This compares with an error of roughly constant n –1 for equal-tailed percentile-t confidence intervals. It is also proved that symmetric intervals are not necessarily any longer than equal-tailed intervals. Arguments based on Edgeworth and Cornish–Fisher expansions are used to predict circumstances in which symmetric intervals will have at once shorter length and smaller coverage error than equal-tailed intervals. The effect of number of replications on interval length and coverage error is discussed. Theoretical conclusions are illustrated in a simulation study.