For a non-normal distribution, how to calculate the confidence interval of the Cumulative Distribution Function (CDF) of such distribution? Are there any approximations to calculate confidence limits which can be used in this case? More specifically, assume I already have probability density function (pdf) of the non-normal distribution and confidence interval of the estimated pdf by means of the Gaussian Kernel Density Estimation (KDE), can I calculate confidence interval of the CDF of the distribution based on the confidence interval of the pdf estimated by the Gaussian kde? An example related to my question is illustrated in the Figure 9 in this paper with link https://ieeexplore.ieee.org/document/6915846/references#references.
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See https://stats.stackexchange.com/questions/298290/plotting-non-parametric-ecdef-confidence-envelopes-for-comparison – kjetil b halvorsen Dec 27 '20 at 16:01
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Sorry but I think my question is a bit different because it involves the kde. But I will keep an eye on this. – Eric94 Dec 29 '20 at 08:13