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Implement "jackknife-after-bootstrap" #50

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HDembinski opened this issue Jul 14, 2020 · 2 comments
Open

Implement "jackknife-after-bootstrap" #50

HDembinski opened this issue Jul 14, 2020 · 2 comments
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@HDembinski
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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.

@dsaxton
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dsaxton commented Jul 15, 2020

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

@HDembinski
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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 HDembinski added this to the 1.6 milestone Jan 31, 2022
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