The Annals of Statistics

On Bootstrap Confidence Intervals in Nonparametric Regression

Peter Hall

Full-text: Open access

Abstract

Several authors have developed bootstrap methods for constructing confidence intervals in nonparametric regression. On each occasion a nonpivotal approach has been employed. Nonpivotal methods are still the overwhelmingly popular choice when statisticians use the bootstrap to compute confidence intervals, but they are not necessarily the most appropriate. In this paper we point out some of the theoretical advantages of pivoting. They include a reduction in the error of the bootstrap distribution function estimate, from $n^{-1/2}$ to $n^{-1}h^{-1/2}$ (where $h$ denotes bandwidth); and a reduction in coverage error of confidence intervals, from either $n^{-1/2}h^{-1/2}$ or $n^{-1/2}h^{1/2}$ (depending on which nonpivotal method is used) to $n^{-1}$. Several comparisons are drawn with the case of nonparametric density estimation, where a pivotal approach also reduces errors associated with confidence intervals, but where the orders of magnitude of the respective errors are quite different from their counterparts for nonparametric regression.

Article information

Source
Ann. Statist., Volume 20, Number 2 (1992), 695-711.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176348652

Digital Object Identifier
doi:10.1214/aos/1176348652

Mathematical Reviews number (MathSciNet)
MR1165588

Zentralblatt MATH identifier
0765.62049

JSTOR
links.jstor.org

Subjects
Primary: 62G05: Estimation
Secondary: 62E20: Asymptotic distribution theory

Keywords
Bootstrap confidence interval coverage error density estimation Edgeworth expansion nonparametric regression percentile method percentile-$t$ simultaneous confidence interval

Citation

Hall, Peter. On Bootstrap Confidence Intervals in Nonparametric Regression. Ann. Statist. 20 (1992), no. 2, 695--711. doi:10.1214/aos/1176348652. https://projecteuclid.org/euclid.aos/1176348652


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