Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems (Q756327): Difference between revisions

The paper is concerned with the clever idea of using bootstrap samples of essentially smaller size \(n_ 1\) than the size of the original sample n. More precisely, the author considers a bootstrap version \(f^*(\cdot | n_ 1,h_ 1)\) of the kernel density estimate \(\hat f(\cdot | n,h)\) and proves, in particular, that quantities like \[ (1)\quad E[\hat f(x| n_ 1,h_ 1)-f(x)]^ p,\text{ and } (2)\quad E[\hat f^*(x| n_ 1,h_ 1)-\hat f(x| n,h)]^ p \] (which obviously take account of both variance and bias of \(\hat f\) and \(\hat f^*)\) are close to each other for \(n_ 1<cn^{1-\delta}.\) The same statment concerning integral (in x) versions of (1) and (2) is proved. Some emphasis is on the problem of bootstrap estimation of a bias.