Accuracy of Uniform Inference on Fine Grid Points

Abstract: Uniform confidence bands for functions are widely used in empirical analysis. A variety of simple implementation methods (most notably multiplier bootstrap) have been proposed and theoretically justified. However, an implementation over a literally continuous index set is generally computationally infeasible, and practitioners therefore compute the critical value by evaluating the statistic on a finite evaluation grid. This paper quantifies how fine the evaluation grid must be for a multiplier bootstrap procedure over finite grid points to deliver valid uniform confidence bands. We derive an explicit bound on the resulting coverage error that separates discretization effects from the intrinsic high-dimensional bootstrap approximation error on the grid. The bound yields a transparent workflow for choosing the grid size in practice, and we illustrate the implementation through an example of kernel density estimation.