Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models

Wolfgang Härdle, Ritov, Ya’acov and Weining Wang

Journal of Multivariate Analysis, 2015, vol. 134, issue C, 129-145

Abstract: This study considers the theoretical bootstrap “coupling” techniques for nonparametric robust smoothers and quantile regression, and we verify the bootstrap improvement. To handle the curse of dimensionality, a variant of “coupling” bootstrap techniques is developed for additive models both in a robust mean regression and in a quantile regression framework. Our bootstrap method can be used in many situations such as constructing confidence intervals and bands. We demonstrate the bootstrap improvement over the theoretical asymptotic band in simulations and in applications to firm expenditures and the interaction of economic sectors and the stock market.

Keywords: Nonparametric regression; Bootstrap; Quantile regression; Confidence bands; Additive model; Robust statistics (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X14002395
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:134:y:2015:i:c:p:129-145

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2014.11.003

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().