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After answering to question Compare the statistical significance of the difference between two polynomial regressions in R, I realized that I have always assumed that ggplot2 plots simultaneous confidence bands, not pointwise confidence bands, without actually knowing that for sure. I asked on SO: https://stackoverflow.com/q/39110516/1711271. I got an interesting answer, which I tried to apply. Results however can be weird:

library(dplyr)
# sample datasets
setosa <- iris %>% filter(Species == "setosa") %>% select(Sepal.Length, Sepal.Width, Species)
virginica <- iris %>% filter(Species == "virginica") %>% select(Sepal.Length, Sepal.Width, Species)

# compute simultaneous confidence bands
setosa <- setosa %>% arrange(Sepal.Length)
virginica <- virginica %>% arrange(Sepal.Length)

# 1. compute linear models
Model <- as.formula(Sepal.Width ~ poly(Sepal.Length,2))
fit1  <- lm(Model, data = setosa)
fit2  <- lm(Model, data = virginica)
# 2. compute design matrices
X1  <- model.matrix(fit1)
X2  <- model.matrix(fit2)
# 3. general linear hypotheses
cht1 <- multcomp::glht(fit1, linfct = X1) 
cht2 <- multcomp::glht(fit2, linfct = X2) 
# 4. simultaneous confidence bands (finally!)
cc1 <- confint(cht1); cc1 <- as.data.frame(cc1$confint)
cc2 <- confint(cht2); cc2 <- as.data.frame(cc2$confint)
setosa$LowerBound <- cc1$lwr
setosa$UpperBound <- cc1$upr
virginica$LowerBound <- cc2$lwr
virginica$UpperBound <- cc1$upr

# combine datasets
mydata <- rbind(setosa, virginica)

# plot both simultaneous confidence bands and pointwise confidence
# bands, to show the difference
library(ggplot2)
# prepare a plot using dataframe mydata, mapping sepal Length to x,
# sepal width to y, and grouping the data by species
ggplot(data = mydata, aes(x = Sepal.Length, y = Sepal.Width, color = Species)) + 
# add data points
geom_point() +
# add quadratic regression with orthogonal polynomials and 95% pointwise
# confidence intervals
geom_smooth(method ="lm", formula = y ~ poly(x,2)) +
# # add 95% simultaneous confidence bands
geom_ribbon(aes(ymin = LowerBound, ymax = UpperBound),alpha = 0.5, fill = "grey70")

enter image description here

Questions:

  1. How would you plot the simultaneous confidence bands? Using ribbons with some transparency sort of does the job, but I'd rather not have the colored contours around the ribbons.
  2. Why both the upper and lower boundary of the setosa ribbon are so smooth, while the upper bound of the virginca ribbon is so jagged? I would expect simultaneous confidence bands to be "hyperbolic" bands around the regression curve, thus very smooth. Am I computing the right thing here?

PS just for the sake for clarity, I'm not interested in prediction bands. Here the focus is on simultaneous confidence bands and pointwise confidence bands.

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    $\begingroup$ Add color = NULL in the aes of geom_ribbon, I would also add fill = Species. $\endgroup$ – Roland Aug 25 '16 at 10:22
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Apparently this question didn't receive a lot of attention. Also, it seems that there's no package for R which computes simultaneous confidence bands for linear regression (!). Since there are R packages for basically everything, this is a bit surprising for me, but it looks like that's how it is. Thus, I decided to write my own function, based on Working-Hotelling bands (basically, Scheffé method applied to a regression surface). It looks like it's working fine, thus I'm posting it as an answer.

simultaneous_CBs <- function(linear_model, newdata, level = 0.95){
    # Working-Hotelling 1 – α confidence bands for the model linear_model
    # at points newdata with α = 1 - level

    # estimate of residual standard error
    lm_summary <- summary(linear_model)
    # degrees of freedom 
    p <- lm_summary$df[1]
    # residual degrees of freedom
    nmp <-lm_summary$df[2]
    # F-distribution
    Fvalue <- qf(level,p,nmp)
    # multiplier
    W <- sqrt(p*Fvalue)
    # confidence intervals for the mean response at the new points
    CI <- predict(linear_model, newdata, se.fit = TRUE, interval = "confidence", 
                  level = level)
    # mean value at new points
    Y_h <- CI$fit[,1]
    # Working-Hotelling 1 – α confidence bands
    LB <- Y_h - W*CI$se.fit
    UB <- Y_h + W*CI$se.fit
    sim_CB <- data.frame(LowerBound = LB, Mean = Y_h, UpperBound = UB)
}
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