Maximum modulus confidence bands

Christopher Withers and Saralees Nadarajah ()

Statistical Papers, 2012, vol. 53, issue 4, 819 pages

Abstract: A family of confidence bands (simultaneous confidence regions) is given for EY= x′ β that are piecewise-linear in x. Normality is assumed. These confidence bands are advocated over the usual hyperbolic band when the region of prime interest is distant from $${\overline{\bf x}}$$ . In particular, this is the case when x = x(t) for time t and future time is of primary interest, that is for the prediction problem. For the case x′ = (1, t), the family of bands includes that of Graybill and Bowden (J Am Stat Assoc 62:403–408, 1967 ). Copyright Springer-Verlag 2012

Keywords: Confidence band; Prediction; Regression; 62J05; 62G13 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s00362-011-0384-3

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