Extensions of Saddlepoint-Based Bootstrap Inference

Abstract

We propose two substantive extensions to the saddlepoint-based bootstrap (SPBB) methodology, whereby inference in parametric models is made through a monotone quadratic estimating equation (QEE). These are motivated through the first-order moving average model, where SPBB application is complicated by the fact that the usual estimators, method of moments (MOME), least squares, and maximum likelihood (MLE), all have mixed distributions and tend to be roots of high-order polynomials that violate the monotonicity requirement. A unifying perspective is provided by demonstrating that these estimators can all be cast as roots of appropriate QEEs. The first extension consists of two double saddlepoint-based Monte Carlo algorithms for approximating the Jacobian term appearing in the approximated density function of estimators derived from a non-monotone QEE. The second extension considers inference under QEEs from exponential power families. The methods are demonstrated for the MLE under a Gaussian distribution, and the MOME under a joint Laplace distribution for the process.

Department(s)

Mathematics and Statistics

Keywords and Phrases

Mathematical techniques; Statistics; Elliptically contoured distributions; Estimating equations; MA(1); Mixed distribution; Moving average model; Power distributions; Saddle-point approximation; Method of moments; Exponential power distribution; Saddlepoint approximation

International Standard Serial Number (ISSN)

0020-3157; 1572-9052

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2013 The Institute of Statistical Mathematics, Tokyo, All rights reserved.

Publication Date

01 Oct 2014

Link to Full Text

Share

 
COinS