Bootstrap prediction error rate

(Application of BSTRAP)

Description

Included m-files offer two closely related applications of companion File Exchange submission BSTRAP, implementing 'simple bootstrap' and '0.632 bootstrap' prediction-error estimators, as described in Section 17.6 of Efron and Tibshirani (1993). (OLS regression is taken up as an example, and prediction error is measured with MSE). The code illustrates BSTRAP syntax, and can be modified to employ different estimators/error metrics. (Notably, a cross-validation routine can be produced with minimal effort).

• Required Products: Statistics Toolbox
• MATLAB release: MATLAB 7.0.1 (R14SP1)

[Dimitri Shvorob]

Link to BSTRAP: http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=14664&objectType=FILE