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[Quote] Bootstrap and MCMC

Dec 31st, 2007| 08:48 pm | Posted by hlee

The Bootstrap and Modern Statistics Brad Efron (2000), JASA Vol. 95 (452), p. 1293-1296.

If the bootstrap is an automatic processor for frequentist inference, then MCMC is its Bayesian counterpart.


Sometime in my second year of studying statistics, I said that bootstrap and MCMC are equivalent but reflect different streams in statistics. The response to this comment was ‘that’s nonsense.’ Although I forgot details of the circumstance, I was hurt and didn’t try to prove myself. After years, the occasion immediately floats on the surface upon seeing this sentence.

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