Estimation of the Distribution Function of a Standardized Statistic

Stephen M. S. Lee and G. Alastair Young

Journal of the Royal Statistical Society Series B, 1997, vol. 59, issue 2, 383-400

Abstract: For estimating the distribution of a standardized statistic, the bootstrap estimate is known to be local asymptotic minimax. Various computational techniques have been developed to improve on the simulation efficiency of uniform resampling, the standard Monte Carlo approach to approximating the bootstrap estimate. Two new approaches are proposed which give accurate yet simple approximations to the bootstrap estimate. The second of the approaches even improves the convergence rate of the simulation error. A simulation study examines the performance of these two approaches in comparison with other modified bootstrap estimates.

Date: 1997
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