Credible intervals and bootstrap confidence intervals in monotone regression

07/30/2023

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by   Piet Groeneboom, et al.

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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.