Abstract
Point-wise confidence intervals for a nonparametric regression function with random design points are considered. The confidence intervals are those based on the traditional normal approximation and the empirical likelihood. Their coverage accuracy is assessed by developing the Edgeworth expansions for the coverage probabilities. It is shown that the empirical likelihood confidence intervals are Bartlett correctable.
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Chen, Sx., Qin, Ys. Coverage Accuracy of Confidence Intervals in Nonparametric Regression. Acta Mathematicae Applicatae Sinica, English Series, English Series 19, 387–396 (2003). https://doi.org/10.1007/s10255-003-0113-3
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DOI: https://doi.org/10.1007/s10255-003-0113-3