Large deviations for bootstrapped empirical measures

DOI10.3150/13-BEJ544MaRDI QIDQ470054zbMATH OpenOpenAlexFDO

Authors José Trashorras, Olivier Wintenberger

Publication date 11 November 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.4620, https://projecteuclid.org/euclid.bj/1411134447

zbMATH Keywords

exchangeable bootstraplarge deviations

Mathematics Subject Classification ID

Large deviations (60F10) Bootstrap, jackknife and other resampling methods (62F40)

Abstract: We investigate the Large Deviations properties of bootstrapped empirical measure with exchangeable weights. Our main result shows in great generality how the resulting rate function combines the LD properties of both the sample weights and the observations. As an application we recover known conditional and unconditional LDPs and obtain some new ones.

Review text

The authors are concerned with large deviation principles (LDPs) with good rate functions for weighted bootstrap sequences computed from triangular arrays of observable random variables taking their values in a Polish space. Two main theorems establish LDPs and rate functions for the conditional case (observations are taken as fixed) and the unconditional case (both the weights and the observations are considered as random) in weak convergence topology, provided that an LDP for the weights (in Wasserstein distance) is at hand. Also, representation results for the rate functions are derived.NEWLINENEWLINEApplications comprise large deviations properties of Efron's bootstrap, the ``\(m\) out of \(n\) bootstrap, the i.i.d.\ weighted bootstrap, the multivariate hypergeometric bootstrap, a bootstrap procedure generated from deterministic weights, and certain block bootstrap methods. In this, proofs concerning the necessary LDPs for the weights are deferred to a supplementary article.

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Cited in

(10)

• Large and moderate deviation principles for the bootstrap sample quantile
• Sup-sums principles for \(F\)-divergence and a new definition for \(t\)-entropy
• Large deviations for weighted empirical mean with outliers
• A large deviation principle for bootstrapped sample means
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• Large deviations for bootstrapped empirical measures
• A Weighted Bootstrap Procedure for Divergence Minimization Problems
• Large deviations for weighted empirical measures arising in importance sampling
• Large deviation principle for moderate deviation probabilities of bootstrap empirical measures
• Bootstrap of deviation probabilities with applications

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