On the coverage probabilities of parametric confidence bands for continuous distribution and quantile functions constructed via confidence regions for a location-scale parameter (Q2409401)

The authors of the paper under review focus on the approach of \textit{P. Kanofsky} [Sankhyā, Ser. A 30, 369--378 (1968; Zbl 0177.47402); Sankhyā, Ser. A 30, 379--386 (1968; Zbl 0187.15703)] to the construction of confidence bands for continuous cumulative distribution functions, which is based on the use of joint confidence regions for the underlying parameters. The main scope of this paper is to explore which confidence regions are indeed exhaustive, guaranteeing equal coverage probabilities of the associated bands, and how this property depends on the support of the specified standard cumulative distribution function in the family. In location-scale families, characterizations of exhaustive confidence regions are obtained for unbounded, one-sided bounded, and bounded supports. The main results are illustrated by means of the standard trapezoidal confidence regions for the location-scale parameter.