Bootstrap resampling using Scheme

September 18, 2022

In a previous post, we discussed bootstrap resampling in Lisp, using LispStat. Let’s revisit the idea of the bootstrap using Chicken Scheme.

Recall the nonparametric bootstrap algorithm:

  1. Let $X = (x_1, x_2, \dots, x_n)$ be a sample of i.i.d observations.
  2. Generate $B$ random samples of size $n$ by drawing with replacement from $X$. Let call those new samples ${X_1^{\star}, X_2^{\star},\dots, X_B^{\star}}$.
  3. Consider a statistic $S(X)$, which may be any estimator, test statistic or average prediction for instance. Any aspect of the distribution of $S(X)$ may be assessed from the distribution of the bootstrap samples directly, ${S(X_1^{\star}), S(X_2^{\star}),\dots, S(X_B^{\star})}$.

The variance of the bootstrap estimate, $\mathbb{V}[S(X)]$ is then:

$$ \mathbb{\widehat V}[S(X)] = \frac{1}{B-1}\sum_{b=1}^B\left(S(X_b^{\star}) - \bar S^{\star}\right)^2. $$

where $\bar S^{\star}$ is the bootstrap sample mean, $\frac{1}{B}\sum_{b=1}^BS(X_b^{\star})$.

Basically, we need a way to (1) shuffle (with replacement) a list of indices (the observation index in a list or vector) or to shuffle the data values directly, then (2) call the same function on $B$ random lists, and finally (3) compute a sum (or any other test statistic). Below is some Chicken Scheme code.

To pick a random element from a list, the following lambda will do the job (replace pseudo-random-integer with random if you are using Racket):

(import (chicken random))

(lambda (x) (list-ref x (pseudo-random-integer (length x))))

Let’s test it:

(define xs '(1 2 3 4 5 6 7 8 9 10))

(list-ref xs (pseudo-random-integer (length xs)))
;; => 9

Of course, your result will likely be a different one, since I don’t use a fixed seed for the PRNG. To repeat the same call to the above procedure, pick say, (length xs) times we can use a simple iterator:

(define (pick x) (list-ref x (pseudo-random-integer (length x))))

(define len (length xs))

(let loop ((n 1)
           (rs '()))
  (cond ((> n len) rs)
        (else (loop (add1 n) (cons (pick xs) rs)))))
;; => (6 6 9 4 8 3 4 2 4 10)

Since we sample with replacement, it is normal to expect some duplicates since the average bootstrap sample omits 36.8% of the original sample.

Everything is now in place. We just need to add one more outer loop to build $n$-samples $k$ times.

Let’s first get some data:

(import (chicken io))

(define fs "birthwt2.csv")

(define data (call-with-input-file fs (lambda (p) (read-lines p))))

The above is quite rudimentary and return a list of strings, with the header as the first element. We don’t really need the header, and we want to keep birth weight (bwt), which is the last numerical value. To parse the data, we will split each string on a comma, using Chicken string-split,1 and extract the bwt value. Here is how it works:

(import (chicken string))

(car (reverse (string-split (list-ref (cdr data) 0) ",")))
;; => 2523

Now, we just have to iterate over the whole list. We’ll be using map instead of for-each since we want to build a list of values along the way:

(define (value xs)
  (string->number (car (reverse (string-split xs ",")))))

(define bwt (map value (cdr data)))

And, now the core algorithm for the bootstrap (I will only compute the sum of the values, since it is a sufficient statistic in this case). Note that I converted the preceding named loop to a currying function:

(define (curry n f)
  (if (= n 0)
      (lambda (x) x)
      (lambda (x) (f ((curry (- n 1) f) x)))))

(define (sample xs)
  (if (null? xs)
      ((curry (length bwt) (lambda (xs) (cons (pick bwt) xs))) '())))

(define (boot xs b)
  (let loop ((n 1) (rs '()))
    (cond ((> n b) rs)
          (else (loop (add1 n) (cons (apply + (sample xs)) rs))))))

(boot bwt 20)
;; => (562214 564519 548880 544008 569931 587845 564206 558517 546902 555674 544962 554010 560677 559470 548108 533815 556976 548125 571216 575198)


From there on, it is not really diffcult to write a full standalone procedure for bootstraping a test statistic, especially since Chicken Scheme provides some basic summary statistic in the statistics module. In a future post, I will show how to compute a 95% confidence interval for a correlation coefficient, and compare this estimate with the asymptotic CI computed using Fisher’s z transformation.

♪ The Durutti Column • Experiment in Fifth

  1. See also string-tokenize (SRFI-13). ↩︎

See Also

» Welch t-test in Scheme » Fisher-Yates shuffling » Algorithms for functional programming » Summing random Uniform deviates » Named let in Scheme