confband.kneib {acid}

Simultaneous Confidence Bands

Description

This function computes simultaneous confidence bands for samples of the presumed distribution of the parameter estimator.

Usage

confband.kneib(samples, level = 0.95)

Arguments

samples

matrix containing samples of the presumed distribution of the parameter estimator.

level

the desired confidence level.

Value

lower

a vector containing the lower bound of the confidence band.

upper

a vector containing the lower bound of the confidence band.

Note

This function is taken from the work of T. Krivobokova, T. Kneib and G. Claeskens.

Author(s)

Alexander Sohn

References

T. Krivobokova, T. Kneib, G. Claeskens (2010): Simultaneous Confidence Bands for Penalized Spline Estimators, in: Journal of the American Statistical Association, Vol. 105(490), pp.852-863.

Examples

mu<-1:20
n<-1000
mcmc<-matrix(NA,n,20)
for(i in 1:20){
  mcmc[,i]<- rnorm(n,mu[i],sqrt(i))
}

plot(mu,type="l",ylim=c(-10,30),lwd=3)
lines(confband.pw(mcmc)$lower,lty=2)
lines(confband.pw(mcmc)$upper,lty=2)
lines(confband.kneib(mcmc)$lower,lty=3)
lines(confband.kneib(mcmc)$upper,lty=3)