Simultaneous confidence bands for nonparametric regression with missing covariate data

DOI10.1007/S10463-021-00784-5zbMATH Open1493.62200arXiv2003.00117OpenAlexW3170512865MaRDI QIDQ825067FDOQ825067

Authors: Li Cai, Lijie Gu, Suojin Wang, Qihua Wang 

Publication date: 17 December 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Abstract: In this paper, we consider a weighted local linear estimator based on the inverse selection probability for nonparametric regression with missing covariates at random. The asymptotic distribution of the maximal deviation between the estimator and the true regression function is derived and an asymptotically accurate simultaneous confidence band is constructed. The estimator for the regression function is shown to be oracally efficient in the sense that it is uniformly indistinguishable from that when the selection probabilities are known. Finite sample performance is examined via simulation studies which support our asymptotic theory. The proposed method is demonstrated via an analysis of a data set from the Canada 2010/2011 Youth Student Survey.

Full work available at URL: https://arxiv.org/abs/2003.00117

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zbMATH Keywords

Brownian motionsimultaneous confidence bandmaximal deviationweighted local linear regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric tolerance and confidence regions (62G15)

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Cited In (7)

• Simultaneous confidence bands and global inferences for extended partially linear single-index models
• Simultaneous confidence bands for Cox regression from semiparametric random censorship
• Oracally Efficient Global Inference for Variance Function in Nonparametric Regression With Missing Covariates
• Global statistical inference for the difference between two regression mean curves with covariates possibly partially missing
• Oracle-efficient estimation for the mean function of missing covariate data based on noparametrically estimated selection probabilities
• Statistical inference for nonparametric censored regression
• A simple approach to construct confidence bands for a regression function with incomplete data

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