More Efficient Bootstrap Computations
更高效的Bootstrap计算AI 解读 ↓
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更高效的Bootstrap计算AI 解读 ↓
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This article concerns computational methods for the bootstrap that are more efficient than the straightforward Monte Carlo methods usually used. The bootstrap is considered in its simplest form: in a one-sample nonparametric problem, where the goal is to estimate the bias or variance of some statistic by bootstrap sampling, or to set approximate confidence intervals for a parameter of interest in terms of various percentiles of the bootstrap distribution. The methods of this article can, in favorable situations, reduce the necessary number of bootstrap replications manyfold. Moreover, simple diagnostics are available to see whether or not any particular case is accessible to these methods.
Uniform confidence bands are widely used in empirical analysis for uncertainty qualification of nonparametric inference of unknown functions. A variety of simple implementation methods, including multiplier bootstrap, have been proposed and theoretically justified. However, an implementation over a literally continuous index set is generally computationally infeasible, and practitioners therefore compute the critical value by evaluating the statistic on a finite evaluation…
We study nonparametric inference for a continuous-treatment causal dose-response curve and its first derivative under unmeasured confounding, using treatment- and outcome-inducing proxies. We establish a proximal doubly robust pseudo-outcome whose conditional mean given treatment equals the dose-response curve whenever either bridge function is correctly specified. Their (smoothed) efficient influence function representations lead to cross-fitted local-polynomial estimators…
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
随机分配回归变量的自助法推断:协方差过滤与边际重抽样的局限
Random assignment can make ordinary least squares (OLS) inference insensitive to outcome dependence, yet iid resampling can still fail because assignment and resampling need not remove the same covariance terms. With binary treatment, the iid variance target differs from the sampling variance by exactly minus aggregate cross-unit covariance of treatment effects. Under a Gaussian first-order limit, positive covariance leads to over-rejection and negative covariance to…
The bootstrap is widely used to construct confidence intervals but may perform poorly for some estimators. We consider semiparametric estimators that use cross-validation to estimate nuisance pa- rameters and can be computationally expensive in large datasets. We illustrate potential problems with bootstrapping with replacement when cross-validation is used and extend the cheap bootstrap confidence interval to subsampling without replacement for asymptotically linear…
核设定检验的数据驱动调参:选择渐近理论、有效性与功效
We develop model checks for conditional moment restrictions whose tuning parameters, the kernel bandwidth and the regularization level, are selected by cross-validation. The tests regress the estimated residuals on the covariates via kernel ridge regression (KRR), yielding a coefficient function in a reproducing kernel Hilbert space (RKHS) that vanishes under the null and is nonzero for any misspecification not annihilated by the Neyman projection. Our central contribution…