Abstract Details
Activity Number:
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498
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Type:
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Contributed
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Date/Time:
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Wednesday, August 12, 2015 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract #314827
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View Presentation
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Title:
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Extrapolation Techniques in U-Statistic Variance Estimation
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Author(s):
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Qing Wang*
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Companies:
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Williams College
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Keywords:
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Hoeffding-decomposition ;
linear extrapolation ;
nonlinear extrapolation ;
variance estimation ;
unbiased ;
U-statistic
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Abstract:
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This paper considers the problem of variance estimation of a U-statistic. Extrapolation techniques are proposed to overcome the drawback of having negative values when using the unbiased U-statistic variance estimator (Wang and Lindsay, 2014). Following the proposal of the linearly extrapolated variance estimator in Wang and Chen (2015), we consider nonlinear extrapolation method and devise a variance estimator that is nearly second-order unbiased. Simulation studies indicate that the second-order extrapolated variance estimator has smaller mean squared error compared to the unbiased variance estimator and the jackknife variance estimator across a wide selection of distributions. We also discuss the advantage of the proposal compared to its jackknife counterpart in regression analysis and model selection.
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Authors who are presenting talks have a * after their name.
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