Paper 4, Section II, 24J\mathbf{2 4 J}

Principles of Statistics | Part II, 2015

Given independent and identically distributed observations X1,,XnX_{1}, \ldots, X_{n} with finite mean E(X1)=μE\left(X_{1}\right)=\mu and variance Var(X1)=σ2\operatorname{Var}\left(X_{1}\right)=\sigma^{2}, explain the notion of a bootstrap sample X1b,,XnbX_{1}^{b}, \ldots, X_{n}^{b}, and discuss how you can use it to construct a confidence interval CnC_{n} for μ\mu.

Suppose you can operate a random number generator that can simulate independent uniform random variables U1,,UnU_{1}, \ldots, U_{n} on [0,1][0,1]. How can you use such a random number generator to simulate a bootstrap sample?

Suppose that (Fn:nN)\left(F_{n}: n \in \mathbb{N}\right) and FF are cumulative probability distribution functions defined on the real line, that Fn(t)F(t)F_{n}(t) \rightarrow F(t) as nn \rightarrow \infty for every tRt \in \mathbb{R}, and that FF is continuous on R\mathbb{R}. Show that, as nn \rightarrow \infty,

suptRFn(t)F(t)0.\sup _{t \in \mathbb{R}}\left|F_{n}(t)-F(t)\right| \rightarrow 0 .

State (without proof) the theorem about the consistency of the bootstrap of the mean, and use it to give an asymptotic justification of the confidence interval CnC_{n}. That is, prove that as n,PN(μCn)1αn \rightarrow \infty, P^{\mathbb{N}}\left(\mu \in C_{n}\right) \rightarrow 1-\alpha where PNP^{\mathbb{N}} is the joint distribution of X1,X2,X_{1}, X_{2}, \ldots

[You may use standard facts of stochastic convergence and the Central Limit Theorem without proof.]

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