Orthogonal Bootstrap: Efficient Simulation of Input Uncertainty

Kaizhao Liu; Jose Blanchet; Lexing Ying; Yiping Lu

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arXiv · 2404.19145

Orthogonal Bootstrap: Efficient Simulation of Input Uncertainty

Kaizhao Liu·Jose Blanchet·Lexing Ying·Yiping Lu

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Abstract

Bootstrap is a popular methodology for simulating input uncertainty. However, it can be computationally expensive when the number of samples is large. We propose a new approach called \textbf{Orthogonal Bootstrap} that reduces the number of required Monte Carlo replications. We decomposes the target being simulated into two parts: the \textit{non-orthogonal part} which has a closed-form result known as Infinitesimal Jackknife and the \textit{orthogonal part} which is easier to be simulated. We theoretically and numerically show that Orthogonal Bootstrap significantly reduces the computational cost of Bootstrap while improving empirical accuracy and maintaining the same width of the constructed interval.

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Kaizhao Liu, Jose Blanchet, Lexing Ying, Yiping Lu. 2024-04-29. Orthogonal Bootstrap: Efficient Simulation of Input Uncertainty. https://arxiv.org/abs/2404.19145

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