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R Bootstrap PDF

This document demonstrates how to perform bootstrap and jackknife calculations in R to estimate statistics and confidence intervals. It uses a dataset of 25 observations to estimate the coefficient of variation. It shows how to: 1) Generate bootstrap samples and compute statistics on each to estimate bias, variance, and create confidence intervals. 2) Perform jackknife calculations by removing each observation and recomputing statistics to create pseudovalues and estimate variance. 3) Compare the original estimate, jackknife, and bootstrap estimates of the coefficient of variation as well as their variances and 95% confidence intervals.

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SAPPA NARESH
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113 views

R Bootstrap PDF

This document demonstrates how to perform bootstrap and jackknife calculations in R to estimate statistics and confidence intervals. It uses a dataset of 25 observations to estimate the coefficient of variation. It shows how to: 1) Generate bootstrap samples and compute statistics on each to estimate bias, variance, and create confidence intervals. 2) Perform jackknife calculations by removing each observation and recomputing statistics to create pseudovalues and estimate variance. 3) Compare the original estimate, jackknife, and bootstrap estimates of the coefficient of variation as well as their variances and 95% confidence intervals.

Uploaded by

SAPPA NARESH
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Bootstrap and Jackknife Calculations in R

Version 6 April 2004

These notes work through a simple example to show how one can program R to do both
jackknife and bootstrap sampling. We start with bootstrapping.

Bootstrap Calculations
R has a number of nice features for easy calculation of bootstrap estimates and confidence
intervals. To see how to use these features, consider the following 25 observations:
8.26 6.33 10.4 5.27 5.35 5.61 6.12 6.19 5.2 7.01 8.74 7.78
7.02 6 6.5 5.8 5.12 7.41 6.52 6.21 12.28 5.6 5.38 6.6
8.74
√
Suppose we wish to estimate the coefficient of variation, CV = Var/ x. Let’s do this with
a bootstrap estimator.
First, let’s put the data into a vector, which we will call x,
> x <-c(8.26, 6.33, 10.4, 5.27, 5.35, 5.61, 6.12, 6.19, 5.2,
7.01, 8.74, 7.78, 7.02, 6, 6.5, 5.8, 5.12, 7.41, 6.52, 6.21,
12.28, 5.6, 5.38, 6.6, 8.74)
Now let’s define a functon in R, which we will call CV, to compute the coefficient of
variation,
> CV <- function(x) sqrt(var(x))/mean(x)
So, let’s compute the CV
> CV(x)
[1] 0.2524712
To generate a single bootstrap sample from this data vector, we use the command
> sample(x,replace=T)
which generates a bootstrap sample of the data vector x by sampling with replacement.
Hence, to compute the CV using a single bootstrap sample,
> CV(sample(x,replace=T))
[1] 0.2242572
The particular value that R returns for you will be different as the sample is random.
Some other useful commands:
> sum(x) returns the sum of the elements in x
> mean(x) returns the mean of the elements in x
P
> var(x) returns the sample variance, i.e., i (x − x)2 /(n − 1)
> length(x) returns the number of items in x (i.e., the sample size n)
2 Bootstrap/Jackknife Calculations in R

Note that the sum command is fairly general, for example


P
> sum((x-mean(x))^ 2) computes i (x − x)2
So, lets now generate 1000 bootstrap samples. We first need to specify a vector of real
values of lenght 1000, which we will call boot
> boot <-numeric(1000)
We now generate 1000 samples, and assign the CV for bootstrap sample i as the ith element
in the vector boot, using a for loop
for (i in 1:1000) boot[i] <- CV(sample(x,replace=T))
The mean and variance of this collection of bootstrap samples are easily obtained using
the mean and var commands (again, your values may differ),
> mean(boot)
[1] 0.2404653
> var(boot)
[1] 0.00193073
A plot of the histogram of these values follows using
hist(boot)

Likewise, the value corresponding to the (say) upper 97.5


> quantile(boot,0.975)
[1] 0.3176385
while the value corresponding to the lower 2.5% follows from
> quantile(boot,0.025)
[1] 0.153469
Recall from the notes that the estimate of the bias is given by the difference between the
mean of the bootstrap values and the initial estimate,
Simple Bootstrap/Jackknife Calculations in R 3

> bias <- mean(boot) - CV(x)


and an bootstrap-corrected estimate of the CV is just the original estimate minus the bias,
> CV(x) - bias
[1] 0.2644771
Assuming normality, the approximate 95% confidence interval is given by
p
d ± 1.96 Var(bootstrap)
CV

(or adjusting for the bias an lower and upper values of


> CV(x) - bias - 1.96*sqrt(var(boot))
[1] 0.1783546
> CV(x) - bias + 1.96*sqrt(var(boot))
[1] 0.3505997

Efron’s confident limit (Equation 11 on resampling notes) has an upper and lower value
of
> quantile(boot,0.975)
[1] 0.3176385
and
> quantile(boot,0.025)
[1] 0.153469

While Hall’s confidence limits (Equation 12) has an upper and lower value of
> 2*CV(x) - quantile(boot,0.025)
[1] 0.3514734
and
> 2*CV(x) - quantile(boot,0.975)
[1] 0.1873039

Jackknife Calculations
We now turn to jackknifing the sample. Recall from the randomization notes that this
involves two steps. First, we generate a jackknife sample which has value xi removed and
then compute the ith partial estimate of the test statistic using this sample,

θbi (x1 · · · xi−1 , xi , · · · xn )

We then turn this ith partial estimate into the ith pseudovalue θbi∗ using (Equation 5c in
random notes)
θbi∗ = nθb − (n − 1)θbi
4 Bootstrap/Jackknife Calculations in R

where θb is the estimate using the full data.


Let’s see how to code this in R using the previous vector x of data with our test statistic
again being the coefficient of variation (and hence our function CV previously defined).
We first focus on generating the ith partial estimate and ith pseudovalue. We need to take
the original data vector x and turn it into a vector (which we denote jack) of lenght n − 1
as follows. First, we need to specify to R that we are creating the jackknife sample vector
of the n − 1 sampled points
jack <- numeric(length(x)-1)
As before, we will use the command lenght(x) in place of n. We also need to specify to
R that we will be generating a vector pseudo of the n pseudovalues
pseudo <- numeric(length(x))
Next, we need to fill in the elements of the jack sample vector as follows. For j < i, the
jth element of jack is the same as the jth element of x; for j = i we exclude the value of
x, while for j > i, the j − 1th element of jack is the jth element of x. We can state all this
using a logical if .. else statement within a for loop,
for (j in 1:length(x)) if(j < i) jack[j] <- x[j]
else if(j > i) jack[j-1] <- x[j]
We can then compute the ith pseudovalue (for the CV) as follows:
pseudo[i] <- lenght(x)*CV(x) -(lenght(x)-1)*CV(jack)
Finally, we top this all off by looping through the n possible i values, giving the final code
as
jack <- numeric(length(x)-1)
pseudo <- numeric(length(x))
for (i in 1:length(x))
{ for (j in 1:length(x))
{if(j < i) jack[j] <- x[j] else if(j > i) jack[j-1] <- x[j]}
pseudo[i] <- length(x)*CV(x) -(length(x)-1)*CV(jack)}
Note the use of the parenthesis ({, }) to delimit the appropriate elements in each loop. The
mean and variance of the pseudovalues are easily found using
> mean(pseudo)
[1] 0.2617376
> var(pseudo)
[1] 0.07262871
Likewise, a histogram of the pseudovalues is generated using
hist(pseudo)
Recall that the mean of the pseudovalues is the bootstrap estimator, while var(pseudo)/n
is the variance of this estimator,
>var(pseudo)/length(x)
[1] 0.002905148
Simple Bootstrap/Jackknife Calculations in R 5

An approximate 95% confidence p interval is given by


mean(pseudo) ±t0.975,n−1 var(pseudo)/n
Using R, the upper and lower limits become
> mean(pseudo) + qt(0.975,length(x)-1)*sqrt(var(pseudo)/length(x))
[1] 0.3729806
> mean(pseudo) - qt(0.975,length(x)-1)*sqrt(var(pseudo)/length(x))
[1] 0.1504947
Giving the approximate 95% jackknife confidence interval as 0.150 to 0.372.

Here’s a summary of the various estimated values, variances, and confidence intervals
Method Estimated CV Variance 95% interval
Original Estimate 0.252
Jackknife 0.262 0.0029 0.150 - 0.373
Bootstrap 0.264 0.0019
Bootstrap (normality) 0.178 - 0.351
Bootstrap (Efron) 0.153 - 0.318
Bootstrap (Hall) 0.187 - 0.351

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