Calibrated percentile double bootstrap for robust linear regression inference

DOI10.5705/SS.202016.0546MaRDI QIDQ4558601zbMATH OpenOpenAlexFDO

Authors

Publication date 22 November 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.00273

zbMATH Keywords

bootstrapconfidence intervalsEdgeworth expansionresamplingsecond-order correctnessrobust linear regression inference

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Nonparametric tolerance and confidence regions (62G15)

Abstract: We consider inference for the parameters of a linear model when the covariates are random and the relationship between response and covariates is possibly non-linear. Conventional inference methods such as z-intervals perform poorly in these cases. We propose a double bootstrap-based calibrated percentile method, perc-cal, as a general-purpose CI method which performs very well relative to alternative methods in challenging situations such as these. The superior performance of perc-cal is demonstrated by a thorough, full-factorial design synthetic data study as well as a real data example involving the length of criminal sentences. We also provide theoretical justification for the perc-cal method under mild conditions. The method is implemented in the R package `perccal', available through CRAN and coded primarily in C++, to make it easier for practitioners to use.

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Cited in

(6)

• Assumption Lean Regression
• Content-adjusted tolerance intervals via bootstrap calibration
• Rejoinder: Models as approximations
• perccal
• Models as approximations. I. Consequences illustrated with linear regression
• Improving coverage probabilities for parametric tolerance intervals via bootstrap calibration

Describes a project that uses

Uses Software

• R
• CRAN

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