Inference for Monotone Functions Under Short- and Long-Range Dependence: Confidence Intervals and New Universal Limits
短程与长程依赖下单调函数的推断:置信区间与新的普适极限
We introduce new point-wise confidence interval estimates for monotone functions observed with additive, dependent noise. Our methodology applies to both short- and long-range dependence regimes for the errors. The interval estimates are obtained via the method of inversion of certain discrepancy statistics. This approach avoids the estimation of nuisance parameters such as the derivative of the unknown function, which previous methods are forced to deal with. The resulting…