Bias-corrected confidence bands in nonparametric regression
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1998 · Volume 60 · Issue 4
Abstract
Bias-corrected confidence bands for general nonparametric regression models are considered. We use local polynomial fitting to construct the confidence bands and combine the cross-validation method and the plug-in method to select the bandwidths. Related asymptotic results are obtained. Our simulations show that confidence bands constructed by local polynomial fitting have much better coverage than those constructed by using the Nadaraya–Watson estimator. The results are also applicable to nonparametric autoregressive time series models.
Keywords
Bias correction, Confidence bands, Local polynomial fitting, Nonparametric regression model, Strong mixing
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