Management Science and Financial Engineering

The Korean Operations Research and Management Science Society (한국경영과학회)
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Assessing the Precision of a Jackknife Estimator

  • Published : 2003.05.01
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Abstract

We introduce a new estimator of the uncertainty of a jackknife estimate of standard error: the jack-knife-after-jackknife (JAJ). Using Monte Carlo simulation, we assess the accuracy of the JAJ in a variety of settings defined by statistic of interest, data distribution, and sample size. For comparison, we also assess the accuracy of the jackknife-after-bootstrap (JAB) estimate of the uncertainty of a bootstrap standard error. We conclude that the JAJ provides a useful new supplement to Tukey's jackknife, and the combination of jackknife and JAJ provides a useful alternative to the combination of bootstrap and JAB.

Keywords

References

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