I am calculating a value that is computed by dividing the derivative of the cumulative distribution function by the value of the distribution function at that point. It is of the form:
𝐽=𝐹′(𝑥) / 𝐹(𝑥)
Where 𝐹(𝑥)is the cumulative distribution function. To get the confidence band on 𝐹(𝑥)I can use the DKF Inequality. How do I get the confidence bands on J?
Jianjun Qin
Drew Lilley We can get the random number of 𝐹′(𝑥) and F(x), right? Then we can get random numbers of J. After that, confidence interval of J is clear then. :)
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