mlsanityData to 14 Oct 2026

Amortized Inference for Sampling Distributions Where the Bootstrap Fails

arXiv 2607.16666 ↗First posted 18 Jul 2026stat.ME stat.MLcited by 0

Not on the map. Why?

Abstract (arXiv)

Efron's bootstrap is the default tool for estimating the sampling distribution of a statistic, yet it is provably inconsistent for maxima of bounded-support distributions, means under infinite variance, extreme quantiles, and tail-index estimators. The classical remedies, the m-out-of-n bootstrap and subsampling, require rate corrections that depend on unknown parameters and behave erratically at realistic sample sizes. We propose an amortized alternative: a neural network is trained on simulated datasets drawn from a prior over a distribution family, using single independent draws of the root T_n - T(F) scored by the pinball loss, a proper scoring rule whose population minimizer is the posterior-predictive law of the root. At test time, a single forward pass maps one dataset of n = 200 observations to its full sampling-distribution estimate, from which confidence intervals follow directly. On four canonical bootstrap-failure problems (bounded-support maximum, alpha-stable mean, Pareto tail index, and 99% value-at-risk under tempered stable returns), the method attains nominal 95% coverage, beats every feasible classical method in Wasserstein distance to the true sampling distribution, and captures over 97% of the achievable improvement where the exact Bayes-optimal answer is computable. For the value-at-risk problem no distribution-free method can reach nominal coverage at all; the learned method attains 94.7%. A single universal network with a statistic token matches all four specialists, and on real daily market returns the unchanged model averages 0.87 coverage against 0.73 for the bootstrap, as predicted by our out-of-family analysis.

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 10 of its 24 references that are in the map. First posted on arXiv 18 Jul 2026.

Builds on

10 of 24 references.

References · 10

  1. 2022TabPFN: A Transformer That Solves Small Tabular Classification Problems in a Secondcited by 674
  2. 2018Accurate Uncertainties for Deep Learning Using Calibrated Regressioncited by 422
  3. 2021Transformers Can Do Bayesian Inferencecited by 360
  4. 2020BayesFlow: Learning complex stochastic models with invertible neural networkscited by 144
  5. 2023Statistical Foundations of Prior-Data Fitted Networkscited by 65
  6. 2024Neural Methods for Amortized Inferencecited by 39
  7. 2022Likelihood-Free Parameter Estimation with Neural Bayes Estimatorscited by 32
  8. 2021A Trust Crisis In Simulation-Based Inference? Your Posterior Approximations Can Be Unfaithfulcited by 28
  9. 2020Neural Bootstrappercited by 5
  10. 2023Amortized Simulation-Based Frequentist Inference for Tractable and Intractable Likelihoodscited by 4

Built on by

Not cited yet.