Parametric bootstrap under model mis-specification
AbstractUnder model correctness, highly accurate inference on a scalar interest parameter in the presence of a nuisance parameter can be achieved by several routes, among them considering the bootstrap distribution of the signed root likelihood ratio statistic. The context of model mis-specification is considered and inference based on a robust form of the signed root statistic is discussed in detail. Stability of the distribution of the statistic allows accurate inference, outperforming that based on first-order asymptotic approximation, by considering the bootstrap distribution of the statistic under the incorrectly assumed distribution. Comparisons of this simple approach with alternative analytic and non-parametric inference schemes are discussed.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 56 (2012)
Issue (Month): 8 ()
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Web page: http://www.elsevier.com/locate/csda
Asymptotic approximation; Model mis-specification; Non-parametric inference; Parametric bootstrap; Resampling; Signed root likelihood ratio statistic;
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