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Quantitative Finance · Glossário

O que é Jackknife?

Definition 13.8 Quantitative Methods · Capítulo 13 — Resampling

The jackknife recomputes a statistic with each observation left out in turn, θ^(i)\hat\theta_{(i)}, and with θˉ=1n∑iθ^(i)\bar\theta = \frac1n\sum_i\hat\theta_{(i)} estimates its bias by (n−1)(θˉ−θ^)(n - 1)(\bar\theta - \hat\theta) and its standard error by n−1n∑i(θ^(i)−θˉ)2\sqrt{\frac{n-1}n\sum_i(\hat\theta_{(i)} - \bar\theta)^2}.

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