Phil Steitz napisał(a):

Calculation of confidence intervals using bootstrap is a bit complicated, so I started with Standard Error - basically, one might calculate bootstrap CI using such SE, however this is often not good enough in practice.

In order to calculate CI in a right way a fast algorithm for calculation of normal distribution function is needed, it is not present in commons-math (as far as I can remember I send some code doing this to a dev mailing list).

I attach classes, which calculate SE using bootstrap, if you are interested in adding this code please let me know, I will have to clean the code, javadoc and write tests. All information about package organization, etc. would be helpfull as well.

Here I put everything into o.a.c.math.stat.bootstrap package.

The short description goes below:

Test class shows the usage of bootstrap to calculate Standard Error.

Bootstrap class does actual resampling - it provides also a method that returns an array of values of some statistics calculated for every sample.

StandardError is an interface that is common for all possible ways of calculating standard error. MeanStandardError and BootstrapStandardError implements this interface to calculate SE in a particular situation.

The usage is the follwing: StandardError bse = new BootstrapStandardError();

((BootstrapStandardError)bse).setB(200);

bse.setStat(new Mean()); System.out.println("se for the mean (bootstrap): " + bse.getStandardError(valSmall)); bse.setStat(new Median()); System.out.println("se for the median (bootstrap): " + bse.getStandardError(valSmall));

StandardError se = new MeanStandardError(); se.setStat(new Mean()); System.out.println("se for the mean (standard formula): " + se.getStandardError(valSmall));

System.out.println("---"); //this requieres patching the Mean class Mean m = new Mean(); m.setStandardError(bse); System.out.println("se for the mean (bootstrap thru Mean): " + m.getStandardError(valSmall));

I would add Confidence Intervals calculation code in a similar way, if this is ok. for you.

Regards

Piotr Kochanski