A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone. We provide second-order accurate P-values for this testing problem and consider both parametric and nonparametric estimators of the individual claim amount distribution. Simulation studies show that the suggested bootstrap P-values are very accurate and outperform their analogues based on the asymptotic normal approximation.

POOR PERFORMANCE OF BOOTSTRAP CONFIDENCE INTERVALS FOR THE LOCATION OF A QUANTITATIVE TRAIT LOUCS

The aim of many genetic studies is to locate the genomic regions (called quantitative trait loci, QTLs) that contribute to variation in a quantitative trait (such as body weight). Confidence intervals for the locations of QTLs are particularly important for the design of further experiments to identify the gene or genes responsible for the effect. Likelihood support intervals are the most widely used method to obtain confidence intervals for QTL location, but the non-parametric bootstrap has also been recommended. Through extensive computer simulation, we show that bootstrap confidence intervals are poorly behaved and so should not be used in this context. The profile likelihood (or LOD curve) for QTL location has a tendency to peak at genetic markers, and so the distribution of the maximum likelihood estimate (MLE) of QTL location has the unusual feature of point masses at genetic markers; this contributes to the poor behavior of the bootstrap. Likelihood support intervals and approximate Bayes credible intervals, on the other hand, are shown to behave appropriately.

An urn-based Bayesian block bootstrap

Block bootstrap has been introduced in the literature for resampling dependent data, i.e. stationary processes. One of the main assumptions in block bootstrapping is that the blocks of observations are exchangeable, i.e. their joint distribution is immune to permutations. In this paper we propose a new Bayesian approach to block bootstrapping, starting from the construction of exchangeable blocks. Our sampling mechanism is based on a particular class of reinforced urn processes

A Bootstrap-Regression Procedure to Capture Unit Specific Effects in Data Envelopment Analysis

The Data Envelopment Analysis (DEA) efficiency score obtained for an individual firm is a point estimate without any confidence interval around it. In recent years, researchers have resorted to bootstrapping in order to generate empirical distributions of efficiency scores. This procedure assumes that all firms have the same probability of getting an efficiency score from any specified interval within the [0,1] range. We propose a bootstrap procedure that empirically generates the conditional distribution of efficiency for each individual firm given systematic factors that influence its efficiency. Instead of resampling directly from the pooled DEA scores, we first regress these scores on a set of explanatory variables not included at the DEA stage and bootstrap the residuals from this regression. These pseudo-efficiency scores incorporate the systematic effects of unit-specific factors along with the contribution of the randomly drawn residual. Data from the U.S. airline industry are utilized in an empirical application.

Análisis de la evolución de los resultados de los alumnos y la metodología Bootstrap para detección de cambios

En este trabajo nos enfocamos en el problema del punto de cambio aplicado al control de calidad del proceso enseñanza-aprendizaje. Para ello se tomo en cuenta la evolución temporal de la proporción de alumnos promocionados, por cuatrimestre, de la asignatura Estadística de la Facultad de Ingeniería de la UNLP, desde el año 2001 al 2008. El objetivo es analizar la posible aparición de cambios en dicha proporción no detectados por las cartas de control convencionales. Se trata de establecer las posibles causas de esos cambios en el marco de las transformaciones ocurridas a partir de la acreditación de las carreras de Ingeniería de la UNLP, usando estas herramientas de estudio. El análisis de punto de cambio es una novedosa herramienta utilizada con el fin de determinar la existencia o no de cambios en procesos de diferente índole. Para su aplicación se emplea un test de hipótesis y la metodología Bootstrap.

Análisis de la evolución de los resultados de los alumnos y la metodología Bootstrap para detección de cambios

En este trabajo nos enfocamos en el problema del punto de cambio aplicado al control de calidad del proceso enseñanza-aprendizaje. Para ello se tomo en cuenta la evolución temporal de la proporción de alumnos promocionados, por cuatrimestre, de la asignatura Estadística de la Facultad de Ingeniería de la UNLP, desde el año 2001 al 2008. El objetivo es analizar la posible aparición de cambios en dicha proporción no detectados por las cartas de control convencionales. Se trata de establecer las posibles causas de esos cambios en el marco de las transformaciones ocurridas a partir de la acreditación de las carreras de Ingeniería de la UNLP, usando estas herramientas de estudio. El análisis de punto de cambio es una novedosa herramienta utilizada con el fin de determinar la existencia o no de cambios en procesos de diferente índole. Para su aplicación se emplea un test de hipótesis y la metodología Bootstrap.

Theoretical analysis and numerical verification of the consistency of viscous smoothed-particle-hydrodynamics formulations in simulating free-surface flows

The theoretical formulation of the smoothed particle hydrodynamics (SPH) method deserves great care because of some inconsistencies occurring when considering free-surface inviscid flows. Actually, in SPH formulations one usually assumes that (i) surface integral terms on the boundary of the interpolation kernel support are neglected, (ii) free-surface conditions are implicitly verified. These assumptions are studied in detail in the present work for free-surface Newtonian viscous flow. The consistency of classical viscous weakly compressible SPH formulations is investigated. In particular, the principle of virtual work is used to study the verification of the free-surface boundary conditions in a weak sense. The latter can be related to the global energy dissipation induced by the viscous term formulations and their consistency. Numerical verification of this theoretical analysis is provided on three free-surface test cases including a standing wave, with the three viscous term formulations investigated.

Seasonal Dynamic Factor Analysis and Bootstrap Inference: Application to Electricity Market Forecasting

In this work, we propose the Seasonal Dynamic Factor Analysis (SeaDFA), an extension of Nonstationary Dynamic Factor Analysis, through which one can deal with dimensionality reduction in vectors of time series in such a way that both common and specific components are extracted. Furthermore, common factors are able to capture not only regular dynamics (stationary or not) but also seasonal ones, by means of the common factors following a multiplicative seasonal VARIMA(p, d, q) × (P, D, Q)s model. Additionally, a bootstrap procedure that does not need a backward representation of the model is proposed to be able to make inference for all the parameters in the model. A bootstrap scheme developed for forecasting includes uncertainty due to parameter estimation, allowing enhanced coverage of forecasting intervals. A challenging application is provided. The new proposed model and a bootstrap scheme are applied to an innovative subject in electricity markets: the computation of long-term point forecasts and prediction intervals of electricity prices. Several appendices with technical details, an illustrative example, and an additional table are available online as Supplementary Materials.

Improving web learning through model optimization using bootstrap for a tour-guide robot

We perform a review of Web Mining techniques and we describe a Bootstrap Statistics methodology applied to pattern model classifier optimization and verification for Supervised Learning for Tour-Guide Robot knowledge repository management. It is virtually impossible to test thoroughly Web Page Classifiers and many other Internet Applications with pure empirical data, due to the need for human intervention to generate training sets and test sets. We propose using the computer-based Bootstrap paradigm to design a test environment where they are checked with better reliability.

Aplicación de la metodología bootstrap para la estimación de la movilidad de furgonetas

En este trabajo se muestran los resultados de la aplicación de la metodología bootstrap a datos de 3369 encuestas realizadas en 2009 a nivel nacional entre conductores de furgonetas, para obtener datos de movilidad interurbana y total, según edad de los vehículos, uso, conductores y otras características de este tipo de vehículo. Se obtienen estimaciones puntuales e intervalos de confianza para la movilidad total de furgonetas, así como para los cuatro tipos de furgonetas según la clasificación realizada en el proyecto de referencia. Se comparan los resultados obtenidos con estimaciones alternativas realizadas con otras fuentes de datos para el mismo colectivo (encuestas realizadas en inspecciones en carretera realizadas por la ATGC de la DGT e inspecciones en ITV) y datos publicados por fuentes oficiales. Estos resultados de movilidad (en término de vehículo-kilómetro) se usarán para la estimación de ratios de accidentalidad en un estudio comparado con otros colectivos de vehículos.