[R] R: pp plot

[Kjetil Brinchmann Halvorsen]

Dr. Herwig Meschke wrote:
> To construct a nonparametric (1-alpha) confidence set for an arbitrary 
> CDF F, you can use the Dvoretzky-Kiefer-Wolfowitz (DKW) inequality 
> (e.g., see Wasserman, L. (2005). All of Statistics. 2nd, corr. printing. 
> NY: Springer, p. 99).
> With n=sample size and eps=sqrt(log(2/alpha)/(2*n)),
> the lower and upper limits are pmax(F-eps ,0) and pmin(F+eps, 1).
> Disadvantage: the sample size must be large.
> 
> Herwig
> 
There is also ecdf.ksCI in CRAN package sfsmisc.


Kjetil