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This discussion, presents two potential screening procedures constructed by modifying the adaptive resampling test (ART): (1) a "parametric bootstrap" analog of ART; and (2) an ART-inspired adaptive testing procedure designed to be more powerful against dense, weak alternatives. The parame...

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Bibliographic Details
Published in:Journal of the American Statistical Association 2015-12, Vol.110 (512), p.1449
Main Authors: Belloni, Alexandre, Chernozhukov, Victor
Format: Article
Language:English
Subjects:
Bootstrap method
Regression analysis
Sampling
Statistics
Online Access:Get full text
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Summary:This discussion, presents two potential screening procedures constructed by modifying the adaptive resampling test (ART): (1) a "parametric bootstrap" analog of ART; and (2) an ART-inspired adaptive testing procedure designed to be more powerful against dense, weak alternatives. The parametric bootstrap procedure avoids the tuning parameter used in ART and thus eliminates potentially computationally burdensome tuning. Furthermore, the proposed parametric bootstrap procedure has a desirable invariance property under local alternatives. However, both ART and our proposed parametric bootstrap analog can have poor power against dense, weak alternatives. A class of adaptive procedures that reduce to our parametric bootstrap version of ART under strong, sparse signals and reduce to a sum of squares criteria under weak, dense signals are proposed.
ISSN:0162-1459
1537-274X