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From |
philippe van kerm <philippe.vankerm@ceps.lu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: bootsrap random number use |

Date |
Mon, 7 Oct 2013 16:16:19 +0000 |

> -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > statalist@hsphsun2.harvard.edu] On Behalf Of Sergiy Radyakin > Sent: Monday, October 07, 2013 4:02 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: bootsrap random number use > > 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? Sergiy, I think it is because of the particular way -bsample- is coded. And in fact, my statement was inaccurate: it is a reproducibility issue. Internally -bsample- does gen double `r' = int(uniform()*_N + 1) gen double `w' = uniform() sort `r' `w' The second variable (`w') ensures that the sort order is identical across repetitions for a given value of the seed (this would not be guaranteed otherwise). I convinced myself by repeating this code a few times: clear set seed 12345 set obs 1000 gen id = _n generate ui = floor((_N)*runiform() + 1) generate w = runiform() sort ui list id ui in 1/10 sort ui w list id ui in 1/10 Despite the -set seed- statement, the sort order -sort ui- is not identical across replications, while it is always the same after -sort ui w-. This is crucial to ensure reproducibility of -bsample- results. > 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? I think the different number of random numbers required by -bsample- and your code just reflects coding differences. It is not inherent to the bootstrap. I would guess you could code it with N random numbers, if that matters. Philippe > 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 > >> >> * > >> >> * For searches and help try: > >> >> * http://www.stata.com/help.cgi?search > >> >> * http://www.stata.com/support/faqs/resources/statalist-faq/ > >> >> * http://www.ats.ucla.edu/stat/stata/ > >> > * > >> > * For searches and help try: > >> > * http://www.stata.com/help.cgi?search > >> > * http://www.stata.com/support/faqs/resources/statalist-faq/ > >> > * http://www.ats.ucla.edu/stat/stata/ > >> * > >> * For searches and help try: > >> * http://www.stata.com/help.cgi?search > >> * http://www.stata.com/support/faqs/resources/statalist-faq/ > >> * http://www.ats.ucla.edu/stat/stata/ > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/faqs/resources/statalist-faq/ > > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: bootsrap random number use***From:*Sergiy Radyakin <serjradyakin@gmail.com>

**References**:**st: bootsrap random number use***From:*Sergiy Radyakin <serjradyakin@gmail.com>

**Re: st: bootsrap random number use***From:*Stas Kolenikov <skolenik@gmail.com>

**Re: st: bootsrap random number use***From:*Sergiy Radyakin <serjradyakin@gmail.com>

**RE: st: bootsrap random number use***From:*philippe van kerm <philippe.vankerm@ceps.lu>

**Re: st: bootsrap random number use***From:*Sergiy Radyakin <serjradyakin@gmail.com>

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