jntCBOM {bayesdistreg} | R Documentation |
jntCBOM
implements calibrated symmetric confidence bands (algorithm 2)
in Montiel Olea and Plagborg-Moller (2018).
jntCBOM(DF, DFmat, alpha = 0.05, eps = 0.001)
DF |
the target distribution/quantile function as a vector |
DFmat |
the matrix of draws of the distribution, rows correspond to
indices elements in |
alpha |
level such that |
eps |
steps by which the grid on 1-alpha:alpha/2 is searched. |
CB - confidence band, zeta - the optimal level
set.seed(14); m=matrix(rbeta(500,1,4),nrow = 5) + 1:5 DF = apply(m,1,mean); plot(1:5,DF,type="l",ylim = c(min(m),max(m)), xlab = "Index") jOMCB<- jntCBOM(DF,DFmat = m) lines(1:5,jOMCB$CB[,1],lty=2); lines(1:5,jOMCB$CB[,2],lty=2)