getIneffDiff: Generic Function for the Computation of Inefficiency...

In ROptEstOld: Optimally Robust Estimation - Old Version

Description

Generic function for the computation of inefficiency differencies. This function is rarely called directly. It is used to compute the radius minimax IC and the least favorable radius.

Usage

getIneffDiff(radius, L2Fam, neighbor, risk, ...)

## S4 method for signature 'numeric,L2ParamFamily,UncondNeighborhood,asMSE'
getIneffDiff(radius, L2Fam, neighbor, risk, loRad, upRad, 
            loRisk, upRisk, z.start = NULL, A.start = NULL, upper.b, MaxIter, eps, warn)

Arguments

radius	neighborhood radius.
L2Fam	L2-differentiable family of probability measures.
neighbor	object of class "Neighborhood".
risk	object of class "RiskType".
...	additional parameters
loRad	the lower end point of the interval to be searched.
upRad	the upper end point of the interval to be searched.
loRisk	the risk at the lower end point of the interval.
upRisk	the risk at the upper end point of the interval.
z.start	initial value for the centering constant.
A.start	initial value for the standardizing matrix.
upper.b	upper bound for the optimal clipping bound.
MaxIter	the maximum number of iterations
eps	the desired accuracy (convergence tolerance).
warn	logical: print warnings.

Value

The inefficieny difference between the left and the right margin of a given radius interval is computed.

Methods

radius = "numeric", L2Fam = "L2ParamFamily", neighbor = "UncondNeighborhood", risk = "asMSE":

computes difference of asymptotic MSE–inefficiency for the boundaries of a given radius interval.

Author(s)

Matthias Kohl [e-mail]

References

Rieder, H., Kohl, M. and Ruckdeschel, P. (2001) The Costs of not Knowing the Radius. Submitted. Appeared as discussion paper Nr. 81. SFB 373 (Quantification and Simulation of Economic Processes), Humboldt University, Berlin; also available under www.uni-bayreuth.de/departments/math/org/mathe7/RIEDER/pubs/RR.pdf

Kohl, M. (2005) Numerical Contributions to the Asymptotic Theory of Robustness. Bayreuth: Dissertation.

See Also

radiusMinimaxIC, leastFavorableRadius

ROptEstOld documentation built on May 2, 2019, 12:51 p.m.