A simple bootstrap method for constructing nonparametric confidence bands for functions

Peter Hall, Joel Horowitz

Research output: Contribution to journalArticle

52 Scopus citations

Abstract

Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias, which generally is not estimated consistently when using the bootstrap and conventionally smoothed function estimators. To overcome this problem it is common practice to either un-dersmooth, so as to reduce the impact of bias, or oversmooth, and thereby introduce an explicit or implicit bias estimator. However, these approaches, and others based on nonstandard smoothing methods, complicate the process of inference, for example, by requiring the choice of new, unconventional smoothing parameters and, in the case of undersmoothing, producing relatively wide bands. In this paper we suggest a new approach, which exploits to our advantage one of the difficulties that, in the past, has prevented an attractive solution to the problem-the fact that the standard bootstrap bias estimator suffers from relatively high-frequency stochastic error. The high frequency, together with a technique based on quantiles, can be exploited to dampen down the stochastic error term, leading to relatively narrow, simple-to-construct confidence bands.

Original languageEnglish (US)
Pages (from-to)1892-1921
Number of pages30
JournalAnnals of Statistics
Volume41
Issue number4
DOIs
StatePublished - Aug 1 2013

Keywords

  • Bandwidth
  • Bias
  • Bootstrap
  • Confidence interval
  • Conservative coverage
  • Coverage error
  • Kernel methods
  • Statistical smoothing

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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