The Annals of Statistics

Bootstrap consistency for general semiparametric M-estimation

Guang Cheng and Jianhua Z. Huang

Full-text: Open access

Abstract

Consider M-estimation in a semiparametric model that is characterized by a Euclidean parameter of interest and an infinite-dimensional nuisance parameter. As a general purpose approach to statistical inferences, the bootstrap has found wide applications in semiparametric M-estimation and, because of its simplicity, provides an attractive alternative to the inference approach based on the asymptotic distribution theory. The purpose of this paper is to provide theoretical justifications for the use of bootstrap as a semiparametric inferential tool. We show that, under general conditions, the bootstrap is asymptotically consistent in estimating the distribution of the M-estimate of Euclidean parameter; that is, the bootstrap distribution asymptotically imitates the distribution of the M-estimate. We also show that the bootstrap confidence set has the asymptotically correct coverage probability. These general conclusions hold, in particular, when the nuisance parameter is not estimable at root-n rate, and apply to a broad class of bootstrap methods with exchangeable bootstrap weights. This paper provides a first general theoretical study of the bootstrap in semiparametric models.

Article information

Source
Ann. Statist. Volume 38, Number 5 (2010), 2884-2915.

Dates
First available: 20 July 2010

Permanent link to this document
http://projecteuclid.org/euclid.aos/1279638543

Digital Object Identifier
doi:10.1214/10-AOS809

Zentralblatt MATH identifier
1200.62042

Mathematical Reviews number (MathSciNet)
MR2722459

Subjects
Primary: 62F40: Bootstrap, jackknife and other resampling methods
Secondary: 62G20: Asymptotic properties

Keywords
Bootstrap consistency bootstrap confidence set semiparametric model M-estimation

Citation

Cheng, Guang; Huang, Jianhua Z. Bootstrap consistency for general semiparametric M -estimation. The Annals of Statistics 38 (2010), no. 5, 2884--2915. doi:10.1214/10-AOS809. http://projecteuclid.org/euclid.aos/1279638543.


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