Some new non-asymptotic results about the accuracy of the weighted bootstrap
- Series
- Stochastics Seminar
- Time
- Thursday, April 28, 2016 - 15:05 for 1 hour (actually 50 minutes)
- Location
- Skiles 006
- Speaker
- Mayya Zhilova – School of Mathematics, Georgia Tech
The bootstrap procedure is well known for its good finite-sample performance, though the
majority of the present results about its accuracy are asymptotic. I will study the
accuracy of the
weighted (or multiplier) bootstrap procedure for estimation of quantiles of a likelihood
ratio statistic.
The set-up is the following: the sample size is bounded, random observations are
independent,
but not necessarily identically distributed, and a parametric model
can be misspecified. This problem had been considered in the recent work of Spokoiny and
Zhilova (2015)
with non-optimal results. I will present a new approach improving the existing results.