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Simultaneous inference for additive regression
arXiv stat.TH0 views
arXiv:2610.41442v1 Announce Type: new Abstract: This paper develops methods for simultaneous inference on component functions in additive models. We first propose bias-corrected smooth backfitting estimators inspired by least squares linear regression and establish their asymptotic properties. We then show that the distributions of the uniform errors of these estimators converge to a Gumbel-type distribution. Based on this distributional approximation, we construct simultaneous confidence bands and develop a practical residual-based procedure for testing the additive components. Simulation studies and empirical data analyses demonstrate that the proposed estimators reduce bias and improve estimation accuracy compared with several existing estimators. Moreover, the empirical coverage probabilities of the proposed simultaneous confidence bands are found to be comparable to those of their oracle counterparts.
Source:https://arxiv.org/abs/2610.41442PreviousDimension Changes the Scale-Signal Channel in Nearest-Neighbor Two-Sample TestingNextBethe Hessian Recovery through the Kesten-Stigum Regime
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