Arbeitspapier
Construction of automatic confidence intervals in nonparametric heteroscedastic regression by a moment-oriented bootstrap
We construct pointwise confidence intervals for regression functions. The method uses nonparametric kernel estimates and the moment-oriented bootstrap method of Bunke which is a wild bootstrap based on smoothed local estimators of higher order error moments. We show that our bootstrap consistently estimates the distribution of mh(x0) - m(xo). In the present paper we focus on fully data-driven procedures and prove that the confidence intervals give asymptotically correct coverage probabilities.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1997,22
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sommerfeld, Volker
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1997
- Handle
- URN
-
urn:nbn:de:kobv:11-10064080
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Sommerfeld, Volker
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1997
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