Abstract
A new procedure for construction of simultaneous confidence bands for a distribution function is presented along with a Monte Carlo simulation study of the robustness of this procedure. The procedure is based upon the confidence regions proposed by Littell and Rao (Technometrics, 1978). The confidence band is shown to be quite robust against incorrect specification of the underlying parametric family assumed in the construction of the band. The band width is less than widths for nonparametric approaches and competitive with non-robust parametric bands in many cases. No new tables are required to construct the band.
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