【金融数学方法系列三】《Bootsrap Methods》 Chernick

 

 

[作者]MICHAEL R. CHERNICK
[出版社]John Wiley & Sons, Inc.
[关键词] Bootstrap,Statistics,resampling
[内容简介]The bootstrap is a form of a larger class of methods that resample from the
original data set and thus are called resampling procedures. Some resampling
procedures similar to the bootstrap go back a long way [e.g., the jackknife
goes back to Quenouille ( 1949 ), and permutation methods go back to Fisher
and Pitman in the 1930s]. Use of computers to do simulation also goes back
to the early days of computing in the late 1940s.
However, it was Efron ( 1979a ) who unifi ed ideas and connected the simple
nonparametric bootstrap, for independent and identically distributed (IID)
observations, which “ resamples the data with replacement, ” with earlier
accepted statistical tools for estimating standard errors such as the jackknife
and the delta method. This fi rst method is now commonly called the nonparametric
IID bootstrap. It was only after the later papers by Efron and Gong
( 1983 ), Efron and Tibshirani ( 1986 ), and Diaconis and Efron ( 1983 ) and the
monograph Efron ( 1982a ) that the statistical and scientifi c community began
to take notice of many of these ideas, appreciate the extensions of the methods
and their wide applicability, and recognize their importance.

[此贴子已经被作者于2009-6-10 8:06:18编辑过]