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.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 1997,22
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
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Sommerfeld, Volker
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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1997
- Handle
- URN
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urn:nbn:de:kobv:11-10064080
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sommerfeld, Volker
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 1997
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