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Abstract Details
Activity Number:
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462
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2012 : 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 - #306269 |
Title:
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Bootstrap Variance Estimates for Bagged Predictors
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Author(s):
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Dennis D. Boos*+ and Jiangtao Duan and Leonard Stefanski
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Companies:
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North Carolina State University and BBVA Compass and North Carolina State University
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Address:
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Department of Statistics, Raleigh, NC, 27695-8203, United States
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Keywords:
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double bootstrap ;
jackknife-after-bootstrap ;
residual-based bootstrap ;
random-pair bootstrap
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Abstract:
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Bagging, averaging over bootstrap replications, is a method to improve predictions based on procedures that are known to be sensitive to small changes in the observed data. Two bootstrap methods are introduced for estimating the variance of bagged predictions in linear regression models when the base estimation method uses variable selection. A key feature of both methods is the use of the residual-based bootstrap rather than the standard random-pair bootstrap. The first method is called the bootstrap-after-bootstrap (BaB) because two levels of bootstrapping are employed, the residual-based bootstrap in the outer loop and the random-pair bootstrap in the inner loop. Although very computationally intensive, this method performs nearly unbiasedly. The second method is called the parallel bootstrap (PB) because only a second set of B resamples are required in parallel to the original B resamples used to define the bagged estimator. It tends to be slightly biased upwards, but is computationally attactive and has low coefficient of variation compared to the BaB method. Simulation comparisons are made using the adaptive LASSO and forward selection.
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