Confidence Bands in Nonparametric Regression

Abstract

New bias-corrected confidence bands are proposed for nonparametric kernal regression. These bands are constructed using only a kernel estimator of the regression curve and its data-selected bandwidth. They are shown to have asymptotically correct coverage properties and to behave well in a small-sample study. One consequence of the large-sample developments is that Bonferroni-type bands for the regression curve at the design points also have conservative asymptotic coverage behavior with no bias correction.

Key Words:

• Bias correction
• Bonferroni bands
• Cross-validation
• Kernel estimators