jntCBOM.Rd
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 of length G |
---|---|
DFmat | the matrix of draws of the distribution, rows correspond to
elements in |
alpha | level such that |
eps | steps of the grid on the interval (alpha/(2*G),alpha/2) to search |
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")