A simple approach to construct confidence bands for a regression function with incomplete data

DOI10.1007/S10182-019-00351-7zbMATH Open1437.62244arXiv1812.03150OpenAlexW2903666559MaRDI QIDQ2176328FDOQ2176328

Authors: Ali Al-Sharadqah, Majid Mojirsheibani 

Publication date: 4 May 2020

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Abstract: A long-standing problem in the construction of asymptotically correct confidence bands for a regression function $m(x)=E[Y|X=x]$, where $Y$ is the response variable influenced by the covariate $X$, involves the situation where $Y$ values may be missing at random, and where the selection probability, the density function $f(x)$ of $X$, and the conditional variance of $Y$ given $X$ are all completely unknown. This can be particularly more complicated in nonparametric situations. In this paper we propose a new kernel-type regression estimator and study the limiting distribution of the properly normalized versions of the maximal deviation of the proposed estimator from the true regression curve. The resulting limiting distribution will be used to construct uniform confidence bands for the underlying regression curve with asymptotically correct coverages. The focus of the current paper is on the case where $XinmathbbR$. We also perform numerical studies to assess the finite-sample performance of the proposed method. In this paper, both mechanics and the theoretical validity of our methods are discussed.

Full work available at URL: https://arxiv.org/abs/1812.03150

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zbMATH Keywords

kernel regressionincomplete dataconfidence bands

Mathematics Subject Classification ID

General nonlinear regression (62J02) Nonparametric tolerance and confidence regions (62G15) Missing data (62D10)

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Cited In (8)

• Simultaneous confidence bands and global inferences for extended partially linear single-index models
• Simultaneous confidence bands for nonparametric regression with missing covariate data
• Oracally Efficient Global Inference for Variance Function in Nonparametric Regression With Missing Covariates
• Confidence intervals for nonparametric regression functions with missing data: multiple design case
• A simple method to construct confidence bands in functional linear regression
• Global statistical inference for the difference between two regression mean curves with covariates possibly partially missing
• Confidence intervals for nonparametric regression functions with missing data
• On the maximal deviation of kernel regression estimators with NMAR response variables

Uses Software

• np

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