Pointwise Confidence Intervals in Nonparametric Regression with Heteroscedastic Error Structure

DOI10.1080/02331889708802572zbMATH Open0869.62034OpenAlexW2039441892MaRDI QIDQ4337763FDOQ4337763

Authors Michael H. Neumann 

Publication date 27 May 1997

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331889708802572

zbMATH Keywords

nonparametric regressionEdgeworth expansionmeanbias correctionCornish-Fisher expansionasymptotic confidence intervalundersmoothingheteroscedastic error structureerror in coverage probabilitypointwise confidence intervalswild bootstrap distribution

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15)

Recommendations

• Pointwise interval estimation of the regression function for fix-design nonparametric regression models
• Bootstrap confidence intervals in nonparametric regression with built-in bias correction
• Automatic bandwidth choice and confidence intervals in nonparametric regression
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Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• Automatic bandwidth choice and confidence intervals in nonparametric regression
• Better Bootstrap Confidence Intervals for Regression Curve Estimation
• Comparing nonparametric versus parametric regression fits
• Edgeworth expansions for nonparametric density estimators, with applications
• Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
• Fully Data-Driven Nonparametric Variance Estimators
• Jackknife, bootstrap and other resampling methods in regression analysis
• On Multivariate Edgeworth Expansions
• On bootstrap confidence intervals in nonparametric regression
• Rate of convergence for the wild bootstrap in nonparametric regression
• Regression Smoothing Parameters That Are Not Far From Their Optimum

Cited in

(8)

• Pointwise interval estimation of the regression function for fix-design nonparametric regression models
• Autoregressive wild bootstrap inference for nonparametric trends
• Simple and honest confidence intervals in nonparametric regression
• Demand analysis as an ill-posed inverse problem with semiparametric specification
• On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference
• Coverage error optimal confidence intervals for local polynomial regression
• Confidence Intervals for Nonparametric Curve Estimates
• The choice of smoothing parameter in nonparametric regression through wild bootstrap

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