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Quantitative Finance · Glossary

What is Bootstrap percentile interval, coverage probability?

Also known as: bootstrap percentile interval · coverage probability

Definition 13.2 Quantitative Methods · Chapter 13 — Resampling

The bootstrap percentile interval at level 1−α1 - \alpha runs from the α/2\alpha/2 to the 1−α/21 - \alpha/2 quantile of the bootstrap draws θ^∗\hat\theta^*. The coverage probability of an interval procedure is the probability, over repeated samples from the true law, that its interval contains the true parameter.

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