Journals / Eskişehir Technical University Journal of Science and Technology A - Applied Sciences and Engineering / 2013 / Cilt: 14 - Sayı: 3

A SIMULATION STUDY OF BOOTSTRAP CONFIDENCE INTERV ALS FOR THE LOCATION OF ASYMMETRIC AND HEAVY TAILED DISTRIBUTIONS

ASİMETRİK VE AĞIR KUYRUKLU DAĞILIMLARIN KONUM PARAMETRESİNİN BOOTSTRAP GÜVEN ARALIKLARI İÇİN BİR BENZETİM ÇALIŞMASI

Pages
213–229
DOI
—

Abstract

Bootstrap methodology is a modern statistical tool which enables us makin g statistical inference when the sampling distribution of the estimator is not known. Although the underlying idea is the same in all bootstrap methods, one might come across so many variations in tthe literature. In this study, the coverage accuracy of four most commonly used bootstrap confidence interval methods was assessed for various asymmetr c and heavy tailed distributions with an exh austive Monte Carlo simulation. In most of the cases, it has been found that the coverage accuracy of bootstrap percentile method is close to nominal for robust estimators of location.

Keywords: Bootstrap, Güven aralığı, Kapsama oranı, Dayanıklı konum ölçüleri