Research
Bootstrapping Data Arrays of Arbitrary Order
March 1, 2012
Abstract
In this paper we study a bootstrap strategy for estimating the variance of a mean taken over large multifactor crossed random effects datasets. We apply bootstrap reweighting independently to the levels of each factor, giving each observation the product of independently sampled factor weights.
No exact bootstrap exists for this problem [McCullagh (2000) Bernoulli 6 285–301]. We show that the proposed bootstrap is mildly conservative, meaning biased toward overestimating the variance, under sufficient conditions that allow very unbalanced and heteroscedastic inputs.
Earlier results for a resampling bootstrap only apply to two factors and use multinomial weights that are poorly suited to online computation. The proposed reweighting approach can be implemented in parallel and online settings. The results for this method apply to any number of factors. The method is illustrated using a 3 factor dataset of comment lengths from Facebook.
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