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Re: st: bootsrap random number use


From   Sergiy Radyakin <serjradyakin@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: bootsrap random number use
Date   Mon, 7 Oct 2013 10:59:17 -0400

On Mon, Oct 7, 2013 at 6:48 AM, philippe van kerm
<philippe.vankerm@ceps.lu> wrote:
> It seems to me the -bsample- code is simply meant to avoid the explicit loop over observations (and so is fast even with many observations), but does not do extra magic otherwise. I would think the second uniform() ensures that the bootstrap draw does not depend on the initial sort order of the data.

Dear Philippe, thank you for this addition, but I still don't get it:
how would the draws depend on the sort order of the data? Is there
such a problem with my model code? Note that I don't loop over
observations, I loop over -draws-. Performance is not an issue here,
but the amount of randomness is. Even if I can't recover the logic
behind the bootstrap, can I be absolutely confident that it will
require 2*N*k random numbers for k iterations? Or is it (N+1)*k?
Thank you, Sergiy Radyakin


>
> Philippe
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of Sergiy Radyakin
>> Sent: Saturday, October 05, 2013 1:15 AM
>> To: statalist@hsphsun2.harvard.edu
>> Subject: Re: st: bootsrap random number use
>>
>> On Fri, Oct 4, 2013 at 6:47 PM, Stas Kolenikov <skolenik@gmail.com>
>> wrote:
>> > As far as I remember looking at the -bsample- code, which I never
>> > understood, it also sorts the data this or that way when -expand-ing
>> > the bootstrap frequencies.
>>
>> Yes, Stas, I also see the sorts, and yes, I also don't understand what
>> it is doing
>> exactly there. My view on bootstrap is that it is doing sampling with
>> replacement,
>> http://en.wikipedia.org/wiki/Bootstrapping_%28statistics%29#Case_resamp
>> ling ,
>> so should be similar to the following minimal code:
>>
>> http://www.radyakin.org/statalist/2013100401/picksample.do
>>
>> which takes exactly N random numbers to create a subsample (with
>> replacement)
>> from the original sample of N observations. If Stata requires more
>> 'randomness', I
>> assume it is doing something more complicated, and I am curious to
>> know what is it.
>>
>> Thank you, Sergiy Radyakin
>>
>>
>>
>> >
>> > -- Stas Kolenikov, PhD, PStat (ASA, SSC)
>> > -- Senior Survey Statistician, Abt SRBI
>> > -- Opinions stated in this email are mine only, and do not reflect
>> the
>> > position of my employer
>> > -- http://stas.kolenikov.name
>> >
>> >
>> >
>> > On Fri, Oct 4, 2013 at 1:45 PM, Sergiy Radyakin
>> <serjradyakin@gmail.com> wrote:
>> >> Dear Statalist,
>> >>
>> >> suppose I want to bootsrap myself. For a dataset with 74
>> observations
>> >> to do two bootstrap iterations I would need to pick 2x74=148 random
>> >> numbers, but Stata picks 296. Why?
>> >>
>> >> Thank you, Sergiy Radyakin
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