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arXiv · 2307.16168

Credible intervals and bootstrap confidence intervals in monotone regression

Piet Groeneboom·Geurt Jongbloed
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Abstract

In the recent paper [5], a Bayesian approach for constructing confidence intervals in monotone regression problems is proposed, based on credible intervals. We view this method from a frequentist point of view, and show that it corresponds to a percentile bootstrap method of which we give two versions. It is shown that a (non-percentile) smoothed bootstrap method has better behavior and does not need correction for over- or undercoverage. The proofs use martingale methods.

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Piet Groeneboom, Geurt Jongbloed. 2023-07-30. Credible intervals and bootstrap confidence intervals in monotone regression. https://arxiv.org/abs/2307.16168

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