Bootstrap confidence interval for a correlation curve

William Nilsson and Tomás del Barrio Castro

Statistics & Probability Letters, 2012, vol. 82, issue 1, 1-6

Abstract: A correlation curve measures the strength of the association between two variables locally at different values of x. The purpose of this study is to obtain point-wise confidence intervals for a correlation curve using wild bootstrap techniques. Empirical coverage probabilities are found to be close to the specified nominal level. Bootstrapping is an attractive alternative to confidence intervals based on asymptotic expressions that have slow rate of convergence.

Keywords: Bootstrap method; Nonparametric method; Correlation curve (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2011.09.001

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