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Bootstrap confidence interval for a correlation curve. (English) Zbl 1229.62080
Summary: A correlation curve measures the strength of the association between two variables locally at different values of \(x\). The purpose of this study is to obtain point-wise confidence intervals for a correlation curve using wild bootstrap techniques. Empirical coverage probabilities are found to be close to the specified nominal level. Bootstrapping is an attractive alternative to confidence intervals based on asymptotic expressions that have slow rate of convergence.

MSC:
62H20 Measures of association (correlation, canonical correlation, etc.)
62G09 Nonparametric statistical resampling methods
62G15 Nonparametric tolerance and confidence regions
65C60 Computational problems in statistics (MSC2010)
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