Re: [R] bootstrap: definition of original statistic

From: Frank E Harrell Jr <f.harrell_at_vanderbilt.edu>
Date: Fri, 22 Feb 2008 09:10:36 -0600

Gad Abraham wrote:
> Hi,
>
> In the boot package, the original statistic is simply the statistic
> function evaluated on the original data (called t0).
>
> However, in Harrell et al 1996 "Multivariable prognostic models..."
> Stats Med vol 15, pp. 361--387, it is different (p. 372):
> The statistic function evaluated on the original data is called
> "D_app" (apparent statistic), whereas "D_orig" (original statistic)
> is derived by first fitting the model to a bootstrap sample, then
> freezing the model and applying it to the original data. The
> bootstrap statistic D_boot is derived by applying the function to
> the bootstrap sample. Then optimism O = average(D_boot - D_orig),
> and the bias-corrected estimate is D_app - O.
>
> Can someone explain this difference, and especially why boot
> doesn't evaluate the frozen model again on the original data?
>
> Thanks,
> Gad
>
>

The optimism bootstrap is a different kind of bootstrap to estimate bias from overfitting. boot is for the regular bootstrap.

-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

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Received on Fri 22 Feb 2008 - 15:18:54 GMT

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