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VOL. 55 | 2007 Confidence bands for convex median curves using sign-tests
Lutz Dümbgen

Editor(s) Eric A. Cator, Geurt Jongbloed, Cor Kraaikamp, Hendrik P. Lopuhaä, Jon A. Wellner


Suppose that one observes pairs $(x_1,Y_1)$, $(x_2,Y_2)$, \ldots, $(x_n,Y_n)$, where $x_1 \le x_2 \le \cdots \le x_n$ are fixed numbers, and $Y_1, Y_2, \ldots, Y_n$ are independent random variables with unknown distributions. The only assumption is that ${\rm Median}(Y_i) = f(x_i)$ for some unknown convex function $f$. We present a confidence band for this regression function $f$ using suitable multiscale sign-tests. While the exact computation of this band requires $O(n^4)$ steps, good approximations can be obtained in $O(n^2)$ steps. In addition the confidence band is shown to have desirable asymptotic properties as the sample size $n$ tends to infinity.


Published: 1 January 2007
First available in Project Euclid: 4 December 2007

zbMATH: 1176.62047

Digital Object Identifier: 10.1214/074921707000000283

Primary: 62G08, 62G15, 62G20
Secondary: 62G35

Rights: Copyright © 2007, Institute of Mathematical Statistics


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