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Convergence rates for uniform confidence intervals based on local polynomial regression estimators

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  • K. De Brabanter
  • Y. Liu
  • C. Hua

Abstract

We investigate the convergence rates of uniform bias-corrected confidence intervals for a smooth curve using local polynomial regression for both the interior and boundary region. We discuss the cases when the degree of the polynomial is odd and even. The uniform confidence intervals are based on the volume-of-tube formula modified for biased estimators. We empirically show that the proposed uniform confidence intervals attain, at least approximately, nominal coverage. Finally, we investigate the performance of the volume-of-tube based confidence intervals for independent non-Gaussian errors.

Suggested Citation

  • K. De Brabanter & Y. Liu & C. Hua, 2016. "Convergence rates for uniform confidence intervals based on local polynomial regression estimators," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 31-48, March.
    • Handle: RePEc:taf:gnstxx:v:28:y:2016:i:1:p:31-48
    DOI: 10.1080/10485252.2015.1113283
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