Abstract

We propose a simple hybrid method which makes use of both saddlepoint and importance sampling techniques to approximate the bootstrap tail probability of an M-estimator. The method does not rely on explicit formula of the Lugannani-Rice type, and is computationally more efficient than both uniform bootstrap sampling and importance resampling suggested in earlier literature. The method is also applied to construct confidence intervals for smooth functions of M-estimands.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.