Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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On the Performance of Iterated Wild Bootstrap Interval Estimation of the Mean Response

  • Kim, Woo-Chul (Department of Computer Science and Statistics, Seoul National University, Seoul 151-742) ;
  • Ko, Duk-Hyun (Department of Computer Science and Statistics, Seoul National University, Seoul 151-742)
  • Published : 1995.12.01
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Abstract

We consider the iterated bootstrap method in regression model with heterogeneous error variances. The iterated wild bootstrap confidence intervla of the mean response is considered. It is shown that the iterated wild bootstrap confidence interval has coverage error of order $n^{-1}$ wheresa percentile method interval has an error of order $n^{-1/2}$. The simulation results reveal that the iterated bootstrap method calibrates the coverage error of percentile method interval successfully even for the small sample size.

Keywords

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