Optimal Confidence Bands for Shape-Restricted Curves

Let Y be a stochastic process on [0,1] satisfying dY(t)=n 1/2 f(t)dt+dW(t) , where n≥1 is a given scale parameter (`sample size'), W is standard Brownian motion and f is an unknown function. Utilizing suitable multiscale tests, we construct confidence bands for f with guaranteed given coverage probability, assuming that f is isotonic or convex. These confidence bands are computationally feasible and shown to be asymptotically sharp optimal in an appropriate sense.

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