Smooth simultaneous confidence bands for cumulative distribution functions

Jiangyan Wang, Fuxia Cheng and Lijian Yang

Journal of Nonparametric Statistics, 2013, vol. 25, issue 2, 395-407

Abstract: A plug-in kernel estimator is proposed for Hölder continuous cumulative distribution function (cdf) based on a random sample. Uniform closeness between the proposed estimator and the empirical cdf estimator is established, while the proposed estimator is smooth instead of a step function. A smooth simultaneous confidence band is constructed based on the smooth distribution estimator and the Kolmogorov distribution. Extensive simulation study using two different automatic bandwidths confirms the theoretical findings.

Date: 2013
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Citations: View citations in EconPapers (12)

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DOI: 10.1080/10485252.2012.759219

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