Related papers: Generalized bootstrap for estimating equations

In this paper we propose a flexible nested error regression small area model with high dimensional parameter that incorporates heterogeneity in regression coefficients and variance components. We develop a new robust small area specific…

Robust Bayesian models are appealing alternatives to standard models, providing protection from data that contains outliers or other departures from the model assumptions. Historically, robust models were mostly developed on a case-by-case…

This paper provides estimation and inference methods for an identified set's boundary (i.e., support function) where the selection among a very large number of covariates is based on modern regularized tools. I characterize the boundary…

We propose a framework for fitting fractional polynomials models as special cases of Bayesian Generalized Nonlinear Models, applying an adapted version of the Genetically Modified Mode Jumping Markov Chain Monte Carlo algorithm. The…

Statistical inference in competing risks models is often based on the famous Aalen-Johansen estimator. Since the corresponding limit process lacks independent increments, it is typically applied together with Lin's (1997) resampling…

The bootstrap procedure has emerged as a general framework to construct prediction intervals for future observations in autoregressive time series models. Such models with outlying data points are standard in real data applications,…

A method is developed for calculating effective sums of divergent series. This approach is a variant of the self-similar approximation theory. The novelty here is in using an algebraic transformation with a power providing the maximal…

Generalised Bayesian inference updates prior beliefs using a loss function, rather than a likelihood, and can therefore be used to confer robustness against possible mis-specification of the likelihood. Here we consider generalised Bayesian…

We present a new approach to far-from-equilibrium statistical mechanics, based on the concept of generalized entropy, which is a microscopically-defined generalization of Onsager-Machlup functional. In the case when a set of slow…

This technical note presents a new approach to carrying out the kind of exploration achieved by Thompson sampling, but without explicitly maintaining or sampling from posterior distributions. The approach is based on a bootstrap technique…

This paper presents the hierarchical generalized linear model (HGLM) for loss reserving in a non-life insurance company. Because in this case the error of prediction is expressed by a complex analytical formula, the error bootstrap…

Generalised regression estimation allows one to make use of available auxiliary information in survey sampling. We develop three types of generalised regression estimator when the auxiliary data cannot be matched perfectly to the sample…

The precise and large dataset concerning catastrophic events is very important for insurers. To improve the quality of such data three methods based on the bootstrap, bootknife, and GAN algorithms are proposed. Using numerical experiments…

In this paper we describe two bootstrap methods for massive data sets. Naive applications of common resampling methodology are often impractical for massive data sets due to computational burden and due to complex patterns of inhomogeneity.…

Bayesian inference for graphical models has received much attention in the literature in recent years. It is well known that when the graph G is decomposable, Bayesian inference is significantly more tractable than in the general…

Modern problems in statistics tend to include estimators of high computational complexity and with complicated distributions. Statistical inference on such estimators usually relies on asymptotic normality assumptions, however, such…

Discrete state spaces represent a major computational challenge to statistical inference, since the computation of normalisation constants requires summation over large or possibly infinite sets, which can be impractical. This paper…

Estimating nonlinear functionals of probability distributions from samples is a fundamental statistical problem. The "plug-in" estimator obtained by applying the target functional to the empirical distribution of samples is biased.…

Let $X_1,\ldots,X_n$ be a random sample from an unknown probability distribution $P$ on the sample space ${\cal X}$, and let $\theta=\theta(P)$ be a parameter of interest. The present paper proposes a nonparametric `Bayesian bootstrap'…

A model-free bootstrap procedure for a general class of stationary time series is introduced. The theoretical framework is established, showing asymptotic validity of bootstrap confidence intervals for many statistics of interest. In…