resample
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Implement "jackknife-after-bootstrap"
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.
Yeah that would make a good addition, and I agree it should likely be its own function.
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.