Document Type
Article
Publication Date
1-18-2010
Abstract
A simultaneous confidence band (SCB) for the cumulative distribution function (cdf) of a random variable can be used to assess the statistical uncertainty of the estimated cdf. Cheng and Iles (1983) presented a general approach of constructing an SCB for the cdf of a continuous random variable derived from a 100 (1 - α) % simultaneous confidence region (SCR) for the parameters of the distribution. The Cheng and Iles SCB procedure includes the true cdf with probability at least (1 - α). This paper identifies the conditions under which the coverage probability for the SCB procedure is exactly (1 - α). A small simulation illustrates the important theoretical results in the paper. © 2010 Elsevier B.V. All rights reserved.
Publication Source (Journal or Book title)
Statistics and Probability Letters
First Page
733
Last Page
738
Recommended Citation
Hong, Y., Escobar, L., & Meeker, W. (2010). Coverage probabilities of simultaneous confidence bands and regions for log-location-scale distributions. Statistics and Probability Letters, 80 (7-8), 733-738. https://doi.org/10.1016/j.spl.2010.01.003
