Pointwise confidence intervals in nonparametric regression with heteroscedastic error structure.
- Neumann, Michael H.
2010 Mathematics Subject Classification
- 62G15 62G07 62E20
- Nonparametric regression, asymptotic confidence interval, error in coverage probability, Edgeworth expansion, wild bootstrap
We assume a nonparametric model with heteroscedastic error structure and consider pointwise confidence intervals for the mean. We construct confidence intervals by using quantiles from a Cornish-Fisher expansion and from the wild bootstrap distribution, with as well as without a subsequent bias correction. It turns out that pure undersmoothing, where the full smoothness is used by the initial estimator, outperforms the method with a subsequent bias correction.