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Bootstrapping survival times in stochastic systems by using saddlepoint approximations
Author(s) -
Butler Ronald W.,
Bronson Douglas A.
Publication year - 2002
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00323
Subject(s) - bootstrapping (finance) , confidence interval , resampling , mathematics , statistics , hazard ratio , cdf based nonparametric confidence interval , robust confidence intervals , hazard , confidence distribution , econometrics , chemistry , organic chemistry
The single bootstrap is implemented by using a saddlepoint approximation to determine estimates for the survival and hazard functions of first‐passage times in complicated semi‐Markov processes. The double bootstrap is also implemented by resampling saddlepoint inversions and provides BC a confidence bands for these functions. Confidence intervals for the mean and variance of first‐passage times are easily computed. A new characterization of the asymptotic hazard rate for survival times is presented and leads to an indirect method for constructing its bootstrap confidence interval.