Confidence bands for multivariate and time dependent inverse regression models

Abstract

Uniform asymptotic confidence bands for a multivariate regression function in an inverse regression model with a convolution-type operator are constructed. The results are derived using strong approximation methods and a limit theorem for the supremum of a stationary Gaussian field over an increasing system of sets. As a particular application asymptotic confidence bands for a time dependent regression function ft(x) (x 2 Rd; t 2 R) in a convolution-type inverse regression model are obtained. To the best knowledge of the authors the results presented in this paper are the first which provide uniform confidence bands for multivariate nonparametric function estimation in inverse problems.