On the uniform asymptotic validity of subsampling and the bootstrap

DOI10.1214/12-AOS1051zbMATH Open1373.62185arXiv1204.2762MaRDI QIDQ741807FDOQ741807

Authors: Joseph P. Romano, Azeem M. Shaikh 

Publication date: 15 September 2014

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

Abstract: This paper provides conditions under which subsampling and the bootstrap can be used to construct estimators of the quantiles of the distribution of a root that behave well uniformly over a large class of distributions $mathbfP$. These results are then applied (i) to construct confidence regions that behave well uniformly over $mathbfP$ in the sense that the coverage probability tends to at least the nominal level uniformly over $mathbfP$ and (ii) to construct tests that behave well uniformly over $mathbfP$ in the sense that the size tends to no greater than the nominal level uniformly over $mathbfP$. Without these stronger notions of convergence, the asymptotic approximations to the coverage probability or size may be poor, even in very large samples. Specific applications include the multivariate mean, testing moment inequalities, multiple testing, the empirical process and U-statistics.

Full work available at URL: https://arxiv.org/abs/1204.2762

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zbMATH Keywords

bootstrapempirical processmultiple testingsubsampling\(U\)-statisticmoment inequalitiesuniformity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

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Cited In (34)

• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• Likelihood inference in some finite mixture models
• On a local uniform bootstrap validity
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• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• CLT For U-statistics With Growing Dimension
• Do Bootstrap Confidence Procedures Behave Well Uniformly in P?
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