Past exam of the mathematics course of the University of Cambridge / 2003 / iii / Paper 43 / 2 / i

The empirical distribution gives each observed value mass $1/n$, so its empirical distribution function isFor each of $B$ independent replications, draw $n$ values with replacement from this empirical distribution, recompute the same estimator ${\hat{\theta }}^{\ast (b)}$, and use their sample standard deviation:This estimates the conditional bootstrap standard error; dividing it by $\sqrt{B}$ would instead estimate simulation uncertainty in the bootstrap mean and is not the requested sampling standard error.

When the original observations are distinct, the first resampled index may be arbitrary. After $j$ distinct indices have been drawn, the next index avoids them with probability $1-j/n$. Multiplying conditional probabilities givesHere $P_{\ast }$ denotes probability conditional on the data.