resample icon indicating copy to clipboard operation
resample copied to clipboard

Implement "jackknife-after-bootstrap"

Open HDembinski opened this issue 4 years ago • 2 comments

The jackknife-after-bootstrap method, as described in Efron and Tibshirani's book, is a clever way to compute an uncertainty for a bootstrap estimate, without computing additional replicas. It needs a bit of additional book-keeping, so it does not come for free, but it is a vast improvement over doing a full jackknife after the bootstrap.

We could add this an keyword option in resample.bootstrap.bootstrap, or have a separate resample.bootstrap.jackknife_after_bootstrap function. I am leaning slightly towards the latter.

HDembinski avatar Jul 14 '20 09:07 HDembinski

Yeah that would make a good addition, and I agree it should likely be its own function.

dsaxton avatar Jul 15 '20 01:07 dsaxton

If we put this functionality in a separate function resample.bootstrap.jackknife_after_bootstrap, then we can add this at any time.

However, we also need to consider a possible breaking change in the function confidence_interval, which should use this to produce an uncertainty for the interval. A confidence interval without an uncertainty, as we have now, is not really useful.

HDembinski avatar Jan 30 '22 22:01 HDembinski