IDEAS home Printed from https://ideas.repec.org/a/oup/biomet/v97y2010i4p881-892.html
   My bibliography  Save this article

Bootstrap confidence intervals and hypothesis tests for extrema of parameters

Author

Listed:
  • Peter Hall
  • Hugh Miller

Abstract

The bootstrap provides effective and accurate methodology for a wide variety of statistical problems which might not otherwise enjoy practicable solutions. However, there still exist important problems where standard bootstrap estimators are not consistent, and where alternative approaches, for example the m-out-of-n bootstrap and asymptotic methods, also face significant challenges. One of these is the problem of constructing confidence intervals or hypothesis tests for extrema of parameters, for example for the maximum of p parameters where each has to be estimated from data. In the present paper we suggest approaches to solving this problem. We use the bootstrap to construct an accurate estimator of the joint distribution of centred parameter estimators, and we base the procedure, either a confidence interval or a hypothesis test, on that distribution estimator. Our methodology is designed so that it errs on the side of conservatism, modulo the small inaccuracy of the bootstrap step. Copyright 2010, Oxford University Press.

Suggested Citation

  • Peter Hall & Hugh Miller, 2010. "Bootstrap confidence intervals and hypothesis tests for extrema of parameters," Biometrika, Biometrika Trust, vol. 97(4), pages 881-892.
    • Handle: RePEc:oup:biomet:v:97:y:2010:i:4:p:881-892
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/biomet/asq045
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Francesca Di Iorio & Stefano Fachin, 2011. "A sieve bootstrap range test for poolability in dependent cointegrated panels," DSS Empirical Economics and Econometrics Working Papers Series 2011/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    2. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Inference on factor structures in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
    3. Di Iorio, Francesca & Fachin, Stefano, 2012. "A simple sieve bootstrap range test for poolability in dependent cointegrated panels," Economics Letters, Elsevier, vol. 116(2), pages 154-156.
    4. Bulat Gafarov, 2019. "Simple subvector inference on sharp identified set in affine models," Papers 1904.00111, arXiv.org, revised Jul 2024.
    5. Wei, Waverly & Zhou, Yuqing & Zheng, Zeyu & Wang, Jingshen, 2024. "Inference on the best policies with many covariates," Journal of Econometrics, Elsevier, vol. 239(2).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:biomet:v:97:y:2010:i:4:p:881-892. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/biomet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.