Bootstrap

#statistics #method #sampling #math #efficient #noassumption

• Used to calculate the Sampling Distribution

Steps

• Draw a sample value, record it, and then replace it
• Repeat n times
• Record the man of the n resampled values
• Repeat steps 1-3 R times
• Use the R results to:
  • Calculate their standard deviation (this estimates sample mean standard error)
  • Produce a histogram or boxplot
  • Find a confidence interval

• R is the number of the iterations

• It does not need to assume anything about the distribution, neither normality

• The more iterations it does, better is the confidence interval

• Can be named as resampled as well

  • Include permutation as well
  • It does without replacement, while bootstrap is with replacement

• Bagging: Bootstrap Aggregation

References

Bruce, 2017, p61-65