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Quantitative Finance · Begrippenlijst

Wat is Empirical distribution function, bootstrap?

Ook bekend als: empirical distribution function · bootstrap

Definition 13.1 Quantitative Methods · Hoofdstuk 13 — Resampling

The empirical distribution function of X1,…,XnX_1, \dots, X_n is Fn(x)=1n#{i:Xi≤x}F_n(x) = \frac1n\#\{i: X_i \le x\}, the law that puts mass 1/n1/n on each observation. The bootstrap estimates the sampling law of a statistic θ^=T(X1,…,Xn)\hat\theta = T(X_1, \dots, X_n) by the law of θ^∗=T(X1∗,…,Xn∗)\hat\theta^* = T(X_1^*, \dots, X_n^*), where the Xi∗X_i^* are drawn independently from FnF_n, that is, with replacement from the data; in practice by computing θ^∗\hat\theta^* on BB resamples.

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