经验似然重抽样下回归模型的Bootstrap逼近

Bootstrapping Regression Models via Empirical Likelihood Resampling

  • 摘要: 本文提出用经验似然重抽样来bootstrap逼近线性回归模型中的学生化最小二乘估计.我们证明了该方法具有一般s-2项Edgeworth展开,它是二阶相合的而且比经典的方法损失更小。

     

    Abstract: In this paper an empirical likelihood resampling is proposed for bootstrapping studentizedleast square estimation in linear regression models. It is proved that our method captures ageneral s-2 term Edgeworth expansion and achieves a second order accuracy, furthermore, ithas smaller loss than the classical one in most cases.

     

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