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Article
Publication date: 3 May 2013

Mohamed Sahbi Nakhli and Lotfi Belkacem

The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits.

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521

Abstract

Purpose

The purpose of this paper is to test the performance of momentum strategies and identify the sources of their profits.

Design/methodology/approach

To identify the main source of momentum profits, first, the bootstrap method with replacement was used. Then, to eliminate the existence of the small sample bias, the bootstrap method without replacement and the block bootstrap method were employed. In this case, when the authors draw the observations without replacement the random effect is reduced, whereas the resampling procedure is based on the random draw.

Findings

The empirical results show the existence of a small sample bias in the bootstrap method with replacement, and that the time‐series relations of stock returns are the main source of momentum profits.

Originality/value

To ensure the random effect of the draws, the authors develop a new resampling procedure called the mixed bootstrap method.

Details

Managerial Finance, vol. 39 no. 6
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 24 July 2007

Dja‐Shin Wang, Tong‐Yuan Koo and Chao‐Yu Chou

The present paper aims to present the results of a simulation study on the behavior of the four 95 percent bootstrap confidence intervals for estimating Cpk when collected…

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590

Abstract

Purpose

The present paper aims to present the results of a simulation study on the behavior of the four 95 percent bootstrap confidence intervals for estimating Cpk when collected data are from a multiple streams process.

Design/methodology/approach

A computer simulation study is developed to present the behavior of four 95 percent bootstrap confidence intervals, i.e. standard bootstrap (SB), percentile bootstrap (PB), biased‐corrected percentile bootstrap (BCPB), and biased‐corrected and accelerated (BCa) bootstrap for estimating the capability index Cpk of a multiple streams process. An analysis of variance using two factorial and three‐stage nested designs is applied for experimental planning and data analysis.

Findings

For multiple process streams, the relationship between the true value of Cpk and the required sample size for effective experiment is presented. Based on the simulation study, the two‐stream process always gives a higher coverage percentage of bootstrap confidence interval than the four‐stream process. Meanwhile, BCPB and BCa intervals lead to better coverage percentage than SB and PB intervals.

Practical implications

Since a large number of process streams decreases the coverage percentage of the bootstrap confidence interval, it may be inappropriate to use the bootstrap method for constructing the confidence interval of a process capability index as the number of process streams is large.

Originality/value

The present paper is the first work to explore the behavior of bootstrap confidence intervals for estimating the capability index Cpk of a multiple streams process. It is concluded that the number of process streams definitively affects the performance of bootstrap methods.

Details

Engineering Computations, vol. 24 no. 5
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 14 November 2008

Jau‐Chuan Ke, Yunn‐Kuang Chu and Jia‐Huei Lee

In order to develop a feasible and efficient method to acquire the long‐run availability of a parallel system with distribution‐free up and down times, the purpose of this…

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284

Abstract

Purpose

In order to develop a feasible and efficient method to acquire the long‐run availability of a parallel system with distribution‐free up and down times, the purpose of this paper is to perform the simulation comparisons on the interval estimations of system availability using four bootstrapping methods.

Design/methodology/approach

By using four bootstrap methods; standard bootstrap (SB) confidence interval, percentile bootstrap (PB) confidence interval, bias‐corrected percentile bootstrap (BCPB) confidence interval, and bias‐corrected and accelerated (BCa) confidence interval. A numerical simulation study is carried out in order to demonstrate performance of these proposed bootstrap confidence intervals. Especially, we investigate the accuracy of the four bootstrap confidence intervals by calculating the coverage percentage, the average length, and the relative coverage of confidence intervals.

Findings

Among the four bootstrap confidence intervals, the PB method has the largest relative coverage in most situations. That is, the PB method is the best one made by practitioners who want to obtain an efficient interval estimation of availability.

Originality/value

It is the first time that the relative coverage is introduced to evaluate the performance of estimation method, which is more efficient than the existing measures.

Details

Engineering Computations, vol. 25 no. 8
Type: Research Article
ISSN: 0264-4401

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Book part
Publication date: 13 May 2017

Otávio Bartalotti, Gray Calhoun and Yang He

This chapter develops a novel bootstrap procedure to obtain robust bias-corrected confidence intervals in regression discontinuity (RD) designs. The procedure uses a wild…

Abstract

This chapter develops a novel bootstrap procedure to obtain robust bias-corrected confidence intervals in regression discontinuity (RD) designs. The procedure uses a wild bootstrap from a second-order local polynomial to estimate the bias of the local linear RD estimator; the bias is then subtracted from the original estimator. The bias-corrected estimator is then bootstrapped itself to generate valid confidence intervals (CIs). The CIs generated by this procedure are valid under conditions similar to Calonico, Cattaneo, and Titiunik’s (2014) analytical correction – that is, when the bias of the naive RD estimator would otherwise prevent valid inference. This chapter also provides simulation evidence that our method is as accurate as the analytical corrections and we demonstrate its use through a reanalysis of Ludwig and Miller’s (2007) Head Start dataset.

Details

Regression Discontinuity Designs
Type: Book
ISBN: 978-1-78714-390-6

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Article
Publication date: 14 October 2020

Haiyan Ge, Xintian Liu, Yu Fang, Haijie Wang, Xu Wang and Minghui Zhang

The purpose of this paper is to introduce error ellipse into the bootstrap method to improve the reliability of small samples and the credibility of the S-N curve.

Abstract

Purpose

The purpose of this paper is to introduce error ellipse into the bootstrap method to improve the reliability of small samples and the credibility of the S-N curve.

Design/methodology/approach

Based on the bootstrap method and the reliability of the original samples, two error ellipse models are proposed. The error ellipse model reasonably predicts that the discrete law of expanded virtual samples obeys two-dimensional normal distribution.

Findings

By comparing parameters obtained by the bootstrap method, improved bootstrap method (normal distribution) and error ellipse methods, it is found that the error ellipse method achieves the expansion of sampling range and shortens the confidence interval, which improves the accuracy of the estimation of parameters with small samples. Through case analysis, it is proved that the tangent error ellipse method is feasible, and the series of S-N curves is reasonable by the tangent error ellipse method.

Originality/value

The error ellipse methods can lay a technical foundation for life prediction of products and have a progressive significance for the quality evaluation of products.

Details

Engineering Computations, vol. 38 no. 1
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 21 July 2020

Hussein-Elhakim Al Issa

This paper aims to examine the effect of financial bootstrapping strategies (FBS) and strategic improvisation (SI) on business performance (BP). The study enriches our…

Abstract

Purpose

This paper aims to examine the effect of financial bootstrapping strategies (FBS) and strategic improvisation (SI) on business performance (BP). The study enriches our understanding of the contributions of bootstrapping and improvisation strategies toward resource-constrained small businesses during real economic downturns and crises. The potential moderating effect of SI on the relationship between FBS and its dimensions and performance were also examined.

Design/methodology/approach

Using the convenience snowball sampling technique, data were collected from entrepreneurs in Tripoli, Libya. Structural equation modeling by means of partial least square bootstrapping resampling was used for the hypotheses testing of the 147 useable responses.

Findings

Statistically significant positive relationships were found in the direct relationships between bootstrapping and improvisation with performance. However, there was no significant association found between the delaying payment related bootstrapping and the owner-related bootstrapping with performance. The moderating effect of improvisation had a significant relationship between bootstrapping as an aggregate construct and its dimensions and performance.

Research limitations/implications

Due to the cross-sectional nature of this study which used a small sample that was randomly selected, generalization to the entire population of business ventures should be made with caution.

Practical implications

The negative moderation effect of improvisation on FBS-BP association suggests that entrepreneurs need to be careful in balancing the two strategies so that efforts are no wasted.

Originality/value

While business performance has been studied in various organizations, its examination with financial bootstrapping strategies as a predictor and strategic improvisation as a moderator contribute nascent theoretical insights.

Details

EuroMed Journal of Business, vol. 16 no. 2
Type: Research Article
ISSN: 1450-2194

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Article
Publication date: 16 March 2020

Muhamad Husnain Mohd Noh, Mohd Akramin Mohd Romlay, Chuan Zun Liang, Mohd Shamil Shaari and Akiyuki Takahashi

Failure of the materials occurs once the stress intensity factor (SIF) overtakes the material fracture toughness. At this level, the crack will grow rapidly resulting in…

Abstract

Purpose

Failure of the materials occurs once the stress intensity factor (SIF) overtakes the material fracture toughness. At this level, the crack will grow rapidly resulting in unstable crack growth until a complete fracture happens. The SIF calculation of the materials can be conducted by experimental, theoretical and numerical techniques. Prediction of SIF is crucial to ensure safety life from the material failure. The aim of the simulation study is to evaluate the accuracy of SIF prediction using finite element analysis.

Design/methodology/approach

The bootstrap resampling method is employed in S-version finite element model (S-FEM) to generate the random variables in this simulation analysis. The SIF analysis studies are promoted by bootstrap S-version Finite Element Model (BootstrapS-FEM). Virtual crack closure-integral method (VCCM) is an important concept to compute the energy release rate and SIF. The semielliptical crack shape is applied with different crack shape aspect ratio in this simulation analysis. The BootstrapS-FEM produces the prediction of SIFs for tension model.

Findings

The mean of BootstrapS-FEM is calculated from 100 samples by the resampling method. The bounds are computed based on the lower and upper bounds of the hundred samples of BootstrapS-FEM. The prediction of SIFs is validated with Newman–Raju solution and deterministic S-FEM within 95 percent confidence bounds. All possible values of SIF estimation by BootstrapS-FEM are plotted in a graph. The mean of the BootstrapS-FEM is referred to as point estimation. The Newman–Raju solution and deterministic S-FEM values are within the 95 percent confidence bounds. Thus, the BootstrapS-FEM is considered valid for the prediction with less than 6 percent of percentage error.

Originality/value

The bootstrap resampling method is employed in S-FEM to generate the random variables in this simulation analysis.

Details

International Journal of Structural Integrity, vol. 11 no. 4
Type: Research Article
ISSN: 1757-9864

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Article
Publication date: 7 August 2017

Bahram Sadeghpour Gildeh, Sedigheh Rahimpour and Fatemeh Ghanbarpour Gravi

The purpose of this paper is to construct a statistical hypotheses test for process capability indices and compare the pairs of them with a fixed sample size.

Abstract

Purpose

The purpose of this paper is to construct a statistical hypotheses test for process capability indices and compare the pairs of them with a fixed sample size.

Design/methodology/approach

Since the sampling distribution of the estimators of pairs of two process capability indices (PCIs) is very complex, an exact statistical hypothesis test for them cannot be constructed. Therefore, the authors have proposed a bootstrap method to construct the hypothesis test for them on the basis of p-value.

Findings

The authors have shown that by increasing n, the bootstrap method has better output relative to other methods and it can be easily implemented. The authors have also demonstrated that sometimes an exact hypotheses test cannot be constructed and need some assumptions.

Originality/value

In the present paper, several methods to test of hypotheses about the difference between two process capability indices have been compared.

Details

International Journal of Quality & Reliability Management, vol. 34 no. 7
Type: Research Article
ISSN: 0265-671X

Keywords

Content available
Article
Publication date: 1 March 2011

John T. Perry, Gaylen N. Chandler, Xin Yao and James Wolff

Among nascent entrepreneurial ventures, are some types of bootstrapping techniques more successful than others? We compare externally oriented and internally oriented…

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1418

Abstract

Among nascent entrepreneurial ventures, are some types of bootstrapping techniques more successful than others? We compare externally oriented and internally oriented techniques with respect to the likelihood of becoming an operational venture; and we compare cash-increasing and cost-decreasing techniques with respect to becoming operational. Using data from the first Panel Study of Entrepreneurial Dynamics, we find evidence suggesting that when bootstrapping a new venture, the percentage of cash-increasing and cost-decreasing externally oriented bootstrapping techniques that a ventureʼs owners use are positive predictors of subsequent positive cash flow (one and two years later). But, internally oriented techniques are not related to subsequent cash flow.

Details

New England Journal of Entrepreneurship, vol. 14 no. 1
Type: Research Article
ISSN: 2574-8904

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Article
Publication date: 19 June 2009

Clara M. Novoa and Francis Mendez

The purpose of this paper is to present bootstrapping as an alternative statistical methodology to analyze time studies and input data for discrete‐event simulations…

Abstract

Purpose

The purpose of this paper is to present bootstrapping as an alternative statistical methodology to analyze time studies and input data for discrete‐event simulations. Bootstrapping is a non‐parametric technique to estimate the sampling distribution of a statistic by doing repeated sampling (i.e. resampling) with replacement from an original sample. This paper proposes a relatively simple implementation of bootstrap techniques to time study analysis.

Design/methodology/approach

Using an inductive approach, this work selects a typical situation to conduct a time study, applies two bootstrap procedures for the statistical analysis, compares bootstrap to traditional parametric approaches, and extrapolates general advantages of bootstrapping over parametric approaches.

Findings

Bootstrap produces accurate inferences when compared to those from parametric methods, and it is an alternative when the underlying parametric assumptions are not met.

Research limitations/implications

Research results contribute to work measurement and simulation fields since bootstrap promises an increase in accuracy in cases where the normality assumption is violated or only small samples are available. Furthermore, this paper shows that electronic spreadsheets are appropriate tools to implement the proposed bootstrap procedures.

Originality/value

In previous work, the standard procedure to analyze time studies and input data for simulations is a parametric approach. Bootstrap permits to obtain both point estimates and estimates of time distributions. Engineers and managers involved in process improvement initiatives could use bootstrap to exploit better the information from available samples.

Details

International Journal of Productivity and Performance Management, vol. 58 no. 5
Type: Research Article
ISSN: 1741-0401

Keywords

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