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Stixbox >> Stixbox > Resampling > stdboot

stdboot

Bootstrap estimate of the parameter standard deviation.

Calling Sequence

s=stdboot(x,T)
s=stdboot(x,T,b)
[s,y]=stdboot(...)

Parameters

x :

a matrix of doubles

T :

a function or a list, the function which computes the empirical estimate from x.

b :

a 1-by-1 matrix of doubles, the number of bootstrap resamples (default b=200)

s :

a 1-by-1 matrix of doubles, the estimate of the standard deviation

y :

a 1-by-b matrix of doubles, the values of T of the resamples

Description

Jackknife estimate of the standard deviation of the parameter estimate T(x).

The function T must have the following header:

p=T(x)
where x is the sample or the resample and p is a m-by-1 matrix of doubles. In the case where the parameter estimate has a more general shape (e.g. 2-by-2), the shape of p is reshaped into a column vector with m components.

See "T and extra arguments" for details on how to pass extra-arguments to T.

The function is equal to

sqrt(diag(covboot(x,T)))

Examples

// Estimate the standard deviation of the
// empirical mean
n = 20;
x=distfun_chi2rnd(3,n,1);
m=mean(x) // Empirical mean
s=stdev(x)/sqrt(n) // Standard error for the mean
s=stdboot(x,mean) // Standard error with bootstrap
// Get y
[s,y]=stdboot(x,mean);
size(y)
// Set the number of resamples
[s,y]=stdboot(x,mean,1000);
size(y)
// Estimate the standard deviation of the median
m=median(x) // Empirical median
s=stdboot(x,median)

// With extra-arguments for T.
x=distfun_chi2rnd(3,20,5);
mean(x,"r")
s=stdboot(x,list(mean,"r"))

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