Montiel Olea and Plagborg-Moller (2018) confidence bands

jntCBOM implements calibrated symmetric confidence bands (algorithm 2) in Montiel Olea and Plagborg-Moller (2018).

jntCBOM(DF, DFmat, alpha = 0.05, eps = 0.001)

Arguments

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 DF
alpha	level such that 1-alpha is the desired probability of coverage
eps	steps of the grid on the interval (alpha/(2*G),alpha/2) to search

Value

CB - confidence band, zeta - the optimal level

Examples

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)