Data sharpening method in regression confidence band

Xuyang He and Yuexiang Jiang

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 5, 1349-1366

Abstract: The confidence band of functions is complicated by the over-smoothing problem and the residual distribution. In this paper, we use bootstrap and data-sharpening methods to establish a general confidence band. The construction is simple and the band is narrower than existing estimation methods. At the same time, a technique based on quantiles makes the confidence band more controllable and damps down the stochastic error term. Afterwards, we conduct a limited simulation to illustrate that the proposed band performs better than existing ones. Finally, we show the theoretical properties of the results and prove them.

Date: 2022
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DOI: 10.1080/03610926.2020.1760887

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