Paper 4, Section II,
Given independent and identically distributed observations with finite mean and variance , explain the notion of a bootstrap sample , and discuss how you can use it to construct a confidence interval for .
Suppose you can operate a random number generator that can simulate independent uniform random variables on . How can you use such a random number generator to simulate a bootstrap sample?
Suppose that and are cumulative probability distribution functions defined on the real line, that as for every , and that is continuous on . Show that, as ,
State (without proof) the theorem about the consistency of the bootstrap of the mean, and use it to give an asymptotic justification of the confidence interval . That is, prove that as where is the joint distribution of
[You may use standard facts of stochastic convergence and the Central Limit Theorem without proof.]