Spring 2025 - Resampling and the Bootstrap

February 2025 - May 2025, University of St. Gallen

The Method Reading Group takes place bi-weekly with sessions of 1h15m, and we aim to devote at least one hour to topic discussion.

This semester, we meet on Thursdays, 16:15-17:30. Please see the schedule section below for updated room locations, dates and topics.

The group is open to anyone: if you would like to participate in the discussion too, let us know!

Contact:
- Giovanni Ballarin (giovanni.ballarin[-at-]unisg.ch)
- Erik-Jan Senn (erik-jan.senn[-at-]unisg.ch)
Files:
- See below for materials discussed
- Some additional references are also listed

Locations

Room C 83-3235, Haus Washington
Rosenbergstrasse 20/22, St. Gallen
Link to MazeMap

Remote Session
Teams Meeting Link
Note: the Teams link will be the same for all meetings.

Schedule

Please check this website for regular updates

#	Date	Room	Paper/Topic	Presenter	Discussant
1)	27.02	C 83-3235	Handbook of Econometrics: Chapter 52 – The Bootstrap	Jonas	Erik
2)	13.03	C 83-3235	Handbook of Statistics: Bootstrap Methods for Time Series	Christoph	Giovanni
3)	27.03	C 83-3235	One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root (2012)	Giovanni	Jonas
			🌻 SEMESTER BREAK 🌻
4)	01.05	C 83-3235	Bootstrap Robust Prescriptive Analytics (2022)	Tobias	Giovanni
5)	08.05*	C 83-3235	Block Bootstrap Methods and the Choice of Stocks for the Long Run (2013)	Erik	Christoph
6)	22.05	C 83-3235	Central Limit Theorems and Bootstrap in High Dimensions (2017)	Giovanni	Jana

Schedule Notices:

Please note that on Thursday 08.05 we will move our meeting time to 15:15-16.30 to allow for the SEPS Spring Apero taking place 17:00!

Materials

Session 1
- Annotated Paper
- See Efron & Tibshirani (1993) for a textbook treatment of roughly the same material.
- See also Chapter 3 in Shao & Tu (1995) for a detailed mathematical presentation of bootstrap theory.
Session 2
- Annotated Paper
- See Chapter 9 in Shao & Tu (1995) for another textbook discussion on the topic.
- For formal but still accessible overviews of bootstrap methods applied to dependent data, we also recommend Cavaliere & Rahbek - A primer on bootstrap testing of hypotheses in time series models (2021) and Cavaliere et al. - An Introduction to Bootstrap Theory in Time Series Econometrics (2020).
Session 3
- Annotated Paper
- Refer to Mikusheva - Uniform Inference in Autoregressive Models (2007) for a more extensive discussion of the AR(1) setting and associated local-to-unity asymptotics.
- See Hansen - The Grid Bootstrap and the Autoregressive Model (1999) for the original proposal of the grid bootstrap.
Session 4
- Handwritten Notes covering the main results of the paper.
Session 5
- Annotated Paper
Session 6
- Annotated Paper
- Handwritten Notes with proof of a simple version of the key high-dimensional CLT result. Based on the 2021 Hausdorff Summer School lecture notes by K. Kato.

Additional References

Efron & Tibshirani - An Introduction to the Bootstrap (1993)
Classical reference for the boostrap method, based on the theory developed rougly before 2000. Includes theoretical analysis of classical problems like variance and bias estimates, the jackknife, confidence intervals and testing.
Shao & Tu - The Jackknife and Bootstrap (1995)
Another classical reference book for bootstrap methods. Unlike Efron & Tibshirani (1993), it focuses on the core (but also more advanced) mathematical theory of the bootstrap itself (see Chapter 3). Detailed treatment of important applications in econometric/statistical analysis include: linear models (Chapter 7); nonparametric models (Chapter 8), and time series and dependent data (Chapter 9).
Efron & Hastie - Computer Age Statistical Inference (2016)
Broad book that can serve as a reference for many contemporary methods in statistical analysis and learning. Chapters 10 and 11 present the bootstrap and the jackknife from a high-level perspective.
Chernick - Bootstrap Methods: A Guide for Practitioners and Researchers (2008)
A book containing many empirical examples of uses of bootstrap methods.

Members

How To

The general guidelines and "house rules" we follow are much inspired by those of e.g. the TS&ML Reading Group at the University of Southampton.

We will alternate over time so that each person can try and fulfill the two main roles at least once:

Presenter: the person who presents (with annotated paper, whiteboard, slides...) the meeting's topic -- they act as the 'key expert' on the chosen paper/chapter/topic, and go over the core points of the material, step by step. The presenter should be well-prepared in the content presented, and be able to provide a compact but transparent and technically accessible presentation of the material.
Discussant: the person that, having read in some detail the material pertaining to the the meeting, can help steer the discussion: what are some key issues or questions? What things may be unclear? What are the strengths and weaknesses? Your role is to help everyone in the session navigate and understand the main ideas discussed.

The following (total) preparation times are suggested:

Presenter: approx. 10 hours
Discussant: approx. 5 hours
General audience: approx. 2 hours

If you encounter any issues with the materials, do not hesitate to contact us!