The Annals of Statistics

A simple bootstrap method for constructing nonparametric confidence bands for functions

Peter Hall and Joel Horowitz

Full-text: Open access

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 undersmooth, 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.

Article information

Source
Ann. Statist. Volume 41, Number 4 (2013), 1892-1921.

Dates
First available in Project Euclid: 5 September 2013

Permanent link to this document
https://projecteuclid.org/euclid.aos/1378386242

Digital Object Identifier
doi:10.1214/13-AOS1137

Mathematical Reviews number (MathSciNet)
MR3127852

Zentralblatt MATH identifier
1277.62120

Subjects
Primary: 62G07: Density estimation 62G08: Nonparametric regression
Secondary: 62G09: Resampling methods

Keywords
Bandwidth bias bootstrap confidence interval conservative coverage coverage error kernel methods statistical smoothing

Citation

Hall, Peter; Horowitz, Joel. A simple bootstrap method for constructing nonparametric confidence bands for functions. Ann. Statist. 41 (2013), no. 4, 1892--1921. doi:10.1214/13-AOS1137. https://projecteuclid.org/euclid.aos/1378386242


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Supplemental materials

  • Supplementary material: Appendix B. The supplementary material in Appendix B.1 outlines theoretical properties underpinning our methodology, while Appendix B.2 contains a proof of Theorem 4.1.