Möbius Inversion and the Iterated Bootstrap

Abstract. Estimating nonlinear functionals of probability distributions from samples is a fundamental statistical problem. The “plug-in” estimator obtained by applying the target functional to the empirical distribution of samples is biased. Resampling methods such as the bootstrap derive artificial datasets from the original one by resampling. Comparing the outcome of the plug-in estimator in the original and resampled datasets allows estimating and thus correcting the bias. In the asymptotic setting, iterations of this procedure attain an arbitrarily high order of bias correction, but finite sample results are scarce. This work develops a new theoretical understanding of bootstrap bias correction by viewing it as an iterative linear solver for the combinatorial operation of Möbius inversion. It sharply characterizes the regime of linear convergence of the bootstrap bias reduction for moment polynomials. It uses these results to show its superalgebraic convergence rate for bandlimited functionals. Finally, it derives a modified bootstrap iteration enabling the unbiased estimation of unknown order [Formula: see text] moment polynomials in [Formula: see text] bootstrap iterations.