时间：2019年6月20日(周四)下午16:00-17:00
地点：闵行校区法商南楼135室
题目：Asymptotic coverage behavior of bootstrap percentile confidence intervals for constrained parameters
报告人：王淳林 助理教授 厦门大学
摘要：The asymptotic behavior of the commonly used bootstrap percentile confidence interval is investigated when the parameters are subject to linear inequality constraints. We concentrate on the important one- and two-sample problems with data generated from general parametric distributions in the natural exponential family. The focus of this paper is on quantifying the coverage probabilities of the parametric bootstrap percentile confidence intervals, in particular their limiting behavior near boundaries. We propose a local asymptotic framework to study this subtle coverage behaviour. Under this framework, we discover that when the true parameters are on, or close to, the restriction boundary, the asymptotic coverage probabilities can always exceed the nominal level in the one-sample case; however, they can be, remarkably, both under and over the nominal level in the two-sample case. Using illustrative examples, we show that the results provide theoretical justification and guidance on applying the bootstrap percentile method to constrained inference problems.
报告人简介：王淳林，加拿大滑铁卢大学统计学博士（2017），自2017年8月起任厦门大学经济学院统计系与王亚南经济研究院助理教授。主要研究方向包括经验似然，bootstrap方法，带约束的统计推断，半参数与非参数似然方法等。近年来，主持教育部人文社科青年项目等课题，研究成果发表于Computational Statistics and Data Analysis，Journal of Multivariate Analysis等统计学期刊。