Authors: Bücher, Axel
Kojadinovic, Ivan
Title: A note on conditional versus joint unconditional weak convergence in bootstrap consistency results
Language (ISO): en
Abstract: The consistency of a bootstrap or resampling scheme is classically validated by weak convergence of conditional laws. However, when working with stochastic processes in the space of bounded functions and their weak convergence in the Hoffmann-Jorgensen sense, an obstacle occurs: due to possible non-measurability, neither laws nor conditional laws are well-defined. Starting from an equivalent formulation of weak convergence based on the bounded Lipschitz metric, a classical circumvent is to formulate bootstrap consistency in terms of the latter distance between what might be called a conditional law of the (nonmeasurable) bootstrap process and the law of the limiting process. The main contribution of this note is to provide an equivalent formulation of bootstrap consistency in the space of bounded functions which is more intuitive and easy to work with. Essentially, the equivalent formulation consists of (unconditional) weak convergence of the original process jointly with an arbitrary large number of bootstrap replicates. As a by-product, we provide two equivalent formulations of bootstrap consistency for Rd-valued statistics: the first in terms of (unconditional) weak convergence of the statistic jointly with its bootstrap replicates, the second in terms of convergence in probability of the empirical distribution function of the bootstrap replicates. Finally, the asymptotic validity of bootstrap-based confidence intervals and tests is briefly revisited, with particular emphasis on the, in practice unavoidable, Monte Carlo approximation of conditional quantiles.
Subject Headings: bootstrap
conditional weak convergence
confidence Intervals
resampling
stochastic processes
weak convergence
URI: http://hdl.handle.net/2003/35989
http://dx.doi.org/10.17877/DE290R-18007
Issue Date: 2017
Appears in Collections:Sonderforschungsbereich (SFB) 823

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