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Statistica Sinica 28 (2018), 2565-2589

CALIBRATED PERCENTILE DOUBLE BOOTSTRAP FOR
ROBUST LINEAR REGRESSION INFERENCE
Daniel McCarthy 1, Kai Zhang 2 , Lawrence D. Brown 3
Richard Berk 3, Andreas Buja 3 , Edward I. George 3 and Linda Zhao 3
1 Emory University, 2 University of North Carolina at Chapel Hill
and 3University of Pennsylvania

Abstract: We consider inference for the parameters of a linear model when the covariates are random and the relationship between response and covariates is possibly non-linear. Conventional inference methods such as z intervals perform poorly in these cases. We propose a double bootstrap-based calibrated percentile method, perc-cal, as a general-purpose CI method which performs very well relative to alternative methods in challenging situations such as these. The superior performance of perc-cal is demonstrated by a thorough, full-factorial design synthetic data study as well as a data example involving the length of criminal sentences. We also provide theoretical justification for the perc-cal method under mild conditions. The method is implemented in the R package "perccal", available through CRAN and coded primarily in C++, to make it easier for practitioners to use.

Key words and phrases: Confidence intervals, Edgeworth expansion, resampling, second-order correctness.

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