Efficiency and robustness in resampling

DOI10.1214/AOS/1176348527MaRDI QIDQ1192976zbMATH OpenOpenAlexFDO

Authors Regina Y. Liu, Kesar Singh

Publication date 27 September 1992

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176348527

zbMATH Keywords

asymptotic relative efficiencyasymptotic variancebootstrap proceduresE-type resampling proceduresefficient proceduresjackknife proceduresleast squares estimationR-type resampling proceduresresampling variancesrobust proceduresunified framework

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Review text

The goal of this paper is to provide a unified framework for classifying different jackknife and bootstrap procedures for linear regression models into two types, type \(E\) (the efficient ones) and type \(R\) (the robust ones). After an introductory first section, section 2 addresses the simple linear regression model \(Y_ i=x_ i\beta+\varepsilon_ i\) with independent errors \(\varepsilon_ i\approx (0,\sigma^ 2_ 1)\) where least squares estimation of \(\beta\) is of interest. It is shown that the resampling variances of the regression estimators satisfy exactly one of two possible representations. This depends mainly on \(\sum x^ 2_ i\). The two representations characterize the efficient and robust groups. Section 3 extends the result to general linear regression. The case of the classical bootstrap in the \(E\)-type and the external bootstrap in the \(R\)-type are presented in detail, other resampling procedures are outlined.

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