Uniform confidence bands in deconvolution with unknown error distribution
From MaRDI portal
Abstract: This paper develops a method to construct uniform confidence bands in deconvolution when the error distribution is unknown. We mainly focus on the baseline setting where an auxiliary sample from the error distribution is available and the error density is ordinary smooth. The auxiliary sample may directly come from validation data, or can be constructed from panel data with a symmetric error distribution. We also present extensions of the results on confidence bands to the case of super-smooth error densities. Simulation studies demonstrate the performance of the multiplier bootstrap confidence band in the finite sample. We apply our method to the Outer Continental Shelf (OCS) Auction Data and draw confidence bands for the density of common values of mineral rights on oil and gas tracts. Finally, we present an application of our main theoretical result specifically to additive fixed-effect panel data models. As an empirical illustration of the panel data analysis, we draw confidence bands for the density of the total factor productivity in a manufacturing industry in Chile.
Recommendations
Cites work
- scientific article; zbMATH DE number 4205634 (Why is no real title available?)
- scientific article; zbMATH DE number 52749 (Why is no real title available?)
- scientific article; zbMATH DE number 1324223 (Why is no real title available?)
- scientific article; zbMATH DE number 472955 (Why is no real title available?)
- scientific article; zbMATH DE number 3059268 (Why is no real title available?)
- A Simple Adjustment for Bandwidth Snooping
- A simple bootstrap method for constructing nonparametric confidence bands for functions
- Adaptive quantile estimation in deconvolution with unknown error distribution
- An approximation of partial sums of independent RV'-s, and the sample DF. I
- Anti-concentration and honest, adaptive confidence bands
- Asymptotic Normality of Kernel-Type Deconvolution Estimators
- Bias-corrected Confidence Bands in Nonparametric Regression
- Bootstrap confidence bands for regression curves and their derivatives
- Comparison and anti-concentration bounds for maxima of Gaussian random vectors
- Conditionally independent private information in OCS wildcat auctions
- Confidence Bands in Non-Parametric Errors-In-Variables Regression
- Confidence Bands in Nonparametric Regression
- Data-driven density estimation in the presence of additive noise with unknown distribution
- Deconvolution from panel data with unknown error distribution
- Deconvolution problems in nonparametric statistics
- Deconvolution with unknown error distribution
- Deconvolving kernel density estimators
- Density Estimation for the Case of Supersmooth Measurement Error
- Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings
- Estimating Production Functions Using Inputs to Control for Unobservables
- Extremes and related properties of random sequences and processes
- Gaussian approximation of suprema of empirical processes
- Generalized non-parametric deconvolution with an application to earnings dynamics
- Global uniform risk bounds for wavelet deconvolution estimators
- Identification and estimation of auction models with unobserved heterogeneity
- Mathematical foundations of infinite-dimensional statistical models
- Measurement Error in Nonlinear Models
- Methodology for Non-Parametric Deconvolution When the Error Distribution is Unknown
- Multiscale methods for shape constraints in deconvolution: confidence statements for qualitative features
- Non-Parametric Confidence Bands in Deconvolution Density Estimation
- Nonparametric estimation for Lévy processes from low-frequency observations
- Nonparametric estimation of the measurement error model using multiple indicators.
- Nonparametric regression with infinite order flat-top kernels
- On convergence rates of suprema
- On deconvolution as a first stage nonparametric estimator
- On deconvolution with repeated measurements
- On estimating firm-level production functions using proxy variables to control for unobservables
- On some global measures of the deviations of density function estimates
- On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference
- On the effect of estimating the error density in nonparametric deconvolution
- On the optimal rates of convergence for nonparametric deconvolution problems
- Optimal Nonparametric Estimation of First-price Auctions
- Optimal Rates of Convergence for Deconvolving a Density
- Practical bandwidth selection in deconvolution kernel density estimation
- Real Analysis and Probability
- Semiparametric Estimation of Regression Models for Panel Data
- Semiparametric and nonparametric methods in econometrics
- Statistical inference for inverse problems
- Superposition operators and functions of bounded \(p\)-variation
- The Dynamics of Productivity in the Telecommunications Equipment Industry
- The empirical characteristic function and its applications
- Uniform confidence bands for functions estimated nonparametrically with instrumental variables
- Uniform limit theorems for wavelet density estimators
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of the supremum distance for supersmooth kernel deconvolution
Cited in
(13)- Uniform confidence bands for nonparametric errors-in-variables regression
- Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
- Simultaneous inference for Berkson errors-in-variables regression under fixed design
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
- Inference on distribution functions under measurement error
- On linearization of nonparametric deconvolution estimators for repeated measurements model
- Honest confidence sets in nonparametric IV regression and other ill-posed models
- Nonparametric significance testing in measurement error models
- Bandwidth selection for nonparametric regression with errors-in-variables
- Average derivative estimation under measurement error
- Robust inference in deconvolution
- Inference for first-price auctions with Guerre, Perrigne, and Vuong's estimator
- Nonparametric bootstrap confidence bands for unfolding sphere size distributions
This page was built for publication: Uniform confidence bands in deconvolution with unknown error distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1792484)
