Coverage probabilities of simultaneous confidence bands and regions for log-location-scale distributions

Yili Hong, Luis A. Escobar and William Q. Meeker

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 733-738

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 SCBÂ for the cdf of a continuous random variable derived from a 100(1-[alpha])% 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-[alpha]). This paper identifies the conditions under which the coverage probability for the SCB procedure is exactly (1-[alpha]). A small simulation illustrates the important theoretical results in the paper.

Date: 2010
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