Statistics and Probability Commons^™

Bootstrap P-Values In Discrete Models: Asymptotic And Non-Asymptotic Effects, Chris Lloyd

Chris J. Lloyd

(This paper is a major revision of http://works.bepress.com/chris_lloyd/15/.) Standard first order P-values suffer from two important drawbacks. First, even for quite large sample sizes they can misrepresent the exact significance which depends on nuisance parameters unspecified under the null. For most discrete models is that accuracy is variable and breaks down completely at the boundary. Second, different test statistics can give practically different results.

The bootstrap P-value is the exact significance with the null maximum estimate (ML) of the nuisance parameter substituted. We show that bootstrap P-values based on different first order statistics differ to second order. We also show …