Simultaneous Confidence Regions for Regression and Smoothing

Software is a part of LOCFIT developed by Loader. See Section 9.3.

Example:

fit_locfit(y~x,alpha=c(0,0.5),deg=1,mint=200)

plot(fit,se.fit=T,crit=kappa0(fit))

Reference: Sun and Loader (1994). Simultaneous Confidence Bands for Linear Regression and Smoothing. The Annals of Statistics, Vol 22, pp 1328-1345.