Simultaneous Error Bars
In Section 5.1.1 we mentioned a basic technique to compute asymptotic confidence intervals for m(x). However, this technique ignores the bias of the Nadaraya-Watson estimate and employs plug-in estimation of f(x) and σ2(x). In this section we present a bootstrap technique which does not need explicit estimation of functional of f, σ2, or m. The bootstrap is a resampling technique that prescribes taking “bootstrap samples» using the same random mechanism that generated the data. A bootstrap procedure automatically incorporating the bias term is the so called golden section bootstrap, introduced by Härdle and Mammen (1988).
KeywordsAssure Resid Ditioned Estima
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