The Bootstrap is Inconsistent with Probability Theory

David H. Wolpert

Working Papers from Santa Fe Institute

Abstract: This paper proves that for no prior probability distribution does the bootstrap (BS) distribution equal the predictive distribution, for all Bernoulli trails of some fixed size. It then proves that for no prior will the BS give the same first two moments as the predictive distribution for all size trails. It ends with an investigation of whether the BS can get the variance correct.

Date: 1995-10
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Persistent link: https://EconPapers.repec.org/RePEc:wop:safiwp:95-10-091

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