High-order coverage of smoothed Bayesian bootstrap intervals for population quantiles

David Kaplan and Lonnie Hofmann ()
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Lonnie Hofmann: Department of Economics, University of Missouri

No 2012, Working Papers from Department of Economics, University of Missouri

Abstract: We characterize the high-order coverage accuracy of smoothed and unsmoothed Bayesian bootstrap confidence intervals for population quantiles. Although the original (Rubin, 1981) unsmoothed intervals have the same O(n^{-1/2}) coverage error as the standard empirical bootstrap, the smoothed Bayesian bootstrap of Banks (1988) has much smaller O(n^{-3/2}[log(n)]^3) coverage error and is exact in special cases, without requiring any smoothing parameter. It automatically removes an error term of order 1/n that other approaches need to explicitly correct for. This motivates further study of the smoothed Bayesian bootstrap in more complex settings and models.

Keywords: continuity correction; credible intervals; fractional order statistics (search for similar items in EconPapers)
JEL-codes: C21 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2020
New Economics Papers: this item is included in nep-ore
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Working Paper: High-order coverage of smoothed Bayesian bootstrap intervals for population quantiles (2020)
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