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Bootstrapping survival times in stochastic systems by using saddlepoint approximations

Authors


Ronald W. Butler Department of Statistics, Colorado State University, Fort Collins, CO 80523, USA. E-mail: walrus@stat.colostate.edu

Abstract

The single bootstrap is implemented by using a saddlepoint approximation to determine estimates for the survival and hazard functions of first-passage times in complicated semi-Markov processes. The double bootstrap is also implemented by resampling saddlepoint inversions and provides BCa confidence bands for these functions. Confidence intervals for the mean and variance of first-passage times are easily computed. A new characterization of the asymptotic hazard rate for survival times is presented and leads to an indirect method for constructing its bootstrap confidence interval.

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