Bootstrapping survival times in stochastic systems by using saddlepoint approximations

Ronald W. Butler and Douglas A. Bronson

Journal of the Royal Statistical Society Series B, 2002, vol. 64, issue 1, 31-49

Abstract: The single bootstrap is implemented by using a saddlepoint approximation to determine estimates for the survival and hazard functions of first‐passage times in complicated semi‐Markov processes. The double bootstrap is also implemented by resampling saddlepoint inversions and provides BCa confidence bands for these functions. Confidence intervals for the mean and variance of first‐passage times are easily computed. A new characterization of the asymptotic hazard rate for survival times is presented and leads to an indirect method for constructing its bootstrap confidence interval.

Date: 2002
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