Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models

JOURNAL OF MULTIVARIATE ANALYSIS

卷:134

Article

Haerdle, Wolfgang Karl^1,2  Ritovc, Ya'acov³  Wang, Weining¹ 

[1] Humboldt Univ, CASE, D-10178 Berlin, Germany

[2] Singapore Management Univ, Singapore 178899, Singapore

[3] Hebrew Univ Jerusalem, Dept Stat, IL-91905 Jerusalem, Israel

关键词: Nonparametric regression;    Bootstrap;    Quantile regression;    Confidence bands;    Additive model;    Robust statistics;   

DOI  :  10.1016/j.jmva.2014.11.003

来源: Elsevier

【 摘 要 】

This study considers the theoretical bootstrap coupling techniques for nonparametric robust smoothers and quantile regression, and we verify the bootstrap improvement. To handle the curse of dimensionality, a variant of coupling bootstrap techniques is developed for additive models both in a robust mean regression and in a quantile regression framework. Our bootstrap method can be used in many situations such as constructing confidence intervals and bands. We demonstrate the bootstrap improvement over the theoretical asymptotic band in simulations and in applications to firm expenditures and the interaction of economic sectors and the stock market. (C) 2014 Elsevier Inc. All rights reserved.

【 授权许可】

Free