Abstract
A new formulation for the construction of adaptive confidence bands in non-parametric function estimation problems is proposed. Confidence bands are constructed which have size that adapts to the smoothness of the function while guaranteeing that both the relative excess mass of the function lying outside the band and the measure of the set of points where the function lies outside the band are small. It is shown that the bands adapt over a maximum range of Lipschitz classes. The adaptive confidence band can be easily implemented in standard statistical software with wavelet support. Numerical performance of the procedure is investigated using both simulated and real datasets. The numerical results agree well with the theoretical analysis. The procedure can be easily modified and used for other nonparametric function estimation models.