报告题目：A note on the failure of bootstrap percentile confidence intervals

报告人：王淳林，厦门大学经济学院统计系与王亚南经济研究院助理教授

时  间：2020年01月05日上午10:00

地  点：数计学院2号楼101报告厅

报告摘要: The coverage behaviour of the commonly used bootstrap percentile confidence interval is investigated when the parameters are subject to linear inequality constraints. We concentrate on the important one- and two-sample problems with data generated from general parametric distributions in the natural exponential family. The focus of this caution note is on quantifying the coverage probabilities of the parametric bootstrap percentile confidence intervals, in particular their limiting behaviour near boundaries. We propose a local asymptotic framework to study this subtle coverage behaviour. Under this framework, we discover that when the true parameters are on, or close to, the restriction boundary, the asymptotic coverage probabilities can always exceed the nominal level in the one-sample case; however, they can be, remarkably, both under and over the nominal level in the two-sample case. Using illustrative examples, we show that the results provide theoretical justification and guidance on applying the bootstrap percentile method to constrained inference problems.

报告人简介：王淳林，现任厦门大学经济学院统计系与王亚南经济研究院助理教授，2017年获得加拿大滑铁卢大学统计学博士学位。研究兴趣主要包括经验似然、病例对照数据分析、密度比模型、半参数与非参数似然推断方法等，主持教育部人文社会科学青年基金等项目，在Journal of Multivariate Analysis和Computational Statistics and Data Analysis等统计学期刊发表论文数篇。