Nonparametric standard errors and confidence intervals

Abstract We investigate several nonparametric methods; the bootstrap, the jackknife, the delta method, and other related techniques. The first and simplest goal is the assignment of nonparametric standard errors to a real‐valued statistic. More ambitiously, we consider setting nonparametric confidence intervals for a real‐valued parameter. Building on the well understood case of confidence intervals for the median, some hopeful evidence is presented that such a theory may be possible.