A Good Asymptotic Framework is Important for Constructing Valid Nonparametric Confidence Intervals
报告人:郭绍俊
报告地点:腾讯会议
报告时间:2020年11月20日星期四10:30-11:30
邀请人:郑术蓉
报告摘要:
In this article we revisit the problem of how to construct better nonparametric confidence intervals for the conditional quantile function from an optimization perspective. We apply the fully data-driven bias correction procedure based on local polynomial smoothing to estimate the conditional quantile. To account for the effect of the estimated bias, we apply an asymptotic framework that the ratio of the bandwidth to the pilot bandwidth tends to some positive constant rather than zero as the sample size grows. We derive an alternative asymptotic normality of the proposed bias-corrected quantile estimator as well as a new asymptotic variance formula. Based on theoretical results, two new pointwise confidence intervals are constructed through resampling strategies. Extensive simulation studies show that our proposed confidence intervals enjoy better performance than other competitors in terms of coverage probabilities and interval lengths and are not sensitive to the choice of bandwidth. Finally, our proposed procedure is further illustrated through UnitedStates’natality birth data in 2017.
会议ID:144 744 928
主讲人简介:
现为中国人民大学统计与大数据研究院副教授。2003年本科毕业于山东师范大学,2008年获得中国科学院数学与系统科学研究院理学博士学位。博士毕业后留中国科学院数学与系统科学研究院工作,助理研究员,任期至2016年。2009年-2010年赴美国普林斯顿大学运筹与金融工程系博士后研究,做高维数据分析方面的研究工作,并于2014-2016年在英国伦敦经济学院统计系做博士后研究,做大维时间序列建模方面的研究。