Re: Inference by Bootstrapping
He also says ... we have to ensure that the residual errors are not correlated. If the errors exhibit some correlation, then a transformation of the residuals is in order. This seems to be wrong. Usually you analyze the residuals and if there is serial correlation, consider alternate models including autocorrelation models which transform both the response and explanatory variables. S-PLUS has functions for this, but MATLAB does not. Can anyone provide an m-file, snippet, reference or discussion? The resampling toolbox for Matlab implements several different resampling procedures. http://www.resample.com/matlab/ = Instructions for joining and leaving this list and remarks about the problem of INAPPROPRIATE MESSAGES are available at http://jse.stat.ncsu.edu/ =
Re: Inference by Bootstrapping
In article LUxI6.945$[EMAIL PROTECTED], Michael Robbins [EMAIL PROTECTED] wrote: I am fooling around with a paper that talks about how to do inferences, like constructing confidence intervals, with the bootstrap method for inference... because the assumption of i.i.d erros is reasonable... also... it is unlikely that the cumulative distribution functions of our estimators are approximately normal. He also says ... we have to ensure that the residual errors are not correlated. If the errors exhibit some correlation, then a transformation of the residuals is in order. It is rare that anything other than drastic transformations of the residuals will remove correlation, and even if they do, the dependence is not affected at all. Dependence, in a model which assumes independence, means that there is something wrong with the model. Also, one of the important properties of the bootstrap is that normality is made far less important. -- This address is for information only. I do not claim that these views are those of the Statistics Department or of Purdue University. Herman Rubin, Dept. of Statistics, Purdue Univ., West Lafayette IN47907-1399 [EMAIL PROTECTED] Phone: (765)494-6054 FAX: (765)494-0558 = Instructions for joining and leaving this list and remarks about the problem of INAPPROPRIATE MESSAGES are available at http://jse.stat.ncsu.edu/ =
Inference by Bootstrapping
I am fooling around with a paper that talks about how to do inferences, like constructing confidence intervals, with the bootstrap method for inference... because the assumption of i.i.d erros is reasonable... also... it is unlikely that the cumulative distribution functions of our estimators are approximately normal. He also says ... we have to ensure that the residual errors are not correlated. If the errors exhibit some correlation, then a transformation of the residuals is in order. S-PLUS has functions for this, but MATLAB does not. Can anyone provide an m-file, snippet, reference or discussion? He references: Efron (1982) The Jacknife, the Bootstap and Other Resampling Plans, Philadelphia: Society for Industrial Applied Mathematics. Seber and WIld (1989) Nonlinear Regression, New York, John Wley sons Shao and Tu (1995) The Jacknife and Boootstrap, New York, Springer Michael Robbins, CFA Director, Debt Capital Markets CIBC World Markets Corp., Canadian Imperial Bank of Commerce New York, NY USA [EMAIL PROTECTED] , [EMAIL PROTECTED] = Instructions for joining and leaving this list and remarks about the problem of INAPPROPRIATE MESSAGES are available at http://jse.stat.ncsu.edu/ =
