getFiRiskRegTS: Generic Function for Computation of Finite-Sample Risks

In ROptRegTS: Optimally Robust Estimation for Regression-Type Models

Description

Generic function for the computation of finite-sample risks in regression-type models. This function is rarely called directly. It is used by other functions.

Usage

getFiRiskRegTS(risk, ErrorDistr, Regressor, neighbor, ...)

## S4 method for signature 
## 'fiUnOvShoot,Norm,UnivariateDistribution,ContNeighborhood'
getFiRiskRegTS(
             risk, ErrorDistr, Regressor, neighbor, clip, stand, sampleSize,
             Algo, cont)

## S4 method for signature 
## 'fiUnOvShoot,Norm,UnivariateDistribution,TotalVarNeighborhood'
getFiRiskRegTS(
             risk, ErrorDistr, Regressor, neighbor, clip, stand, sampleSize,
             Algo, cont)

## S4 method for signature 
## 'fiUnOvShoot,Norm,UnivariateDistribution,CondContNeighborhood'
getFiRiskRegTS(
             risk, ErrorDistr, Regressor, neighbor, clip, stand, sampleSize,
             cont)

## S4 method for signature 
## 'fiUnOvShoot,Norm,UnivariateDistribution,CondTotalVarNeighborhood'
getFiRiskRegTS(
             risk, ErrorDistr, Regressor, neighbor, clip, stand, sampleSize, cont)

Arguments

risk	object of class "RiskType".
ErrorDistr	error distribution
Regressor	regressor
neighbor	object of class "Neighborhood".
...	additional parameters.
clip	optimal clipping bound/function.
stand	standardizing matrix.
sampleSize	integer: sample size.
Algo	"A" or "B".
cont	"left" or "right".

Details

The computation of the finite-sample under-/overshoot risk is based on FFT. For more details we refer to Subsections 12.1.3 and 12.2.3 of Kohl (2005).

Value

The finite-sample risk is computed.

Methods

risk = "fiUnOvShoot", ErrorDistr = "Norm", Regressor = "UnivariateDistribution", neighbor = "ContNeighborhood"

computes finite-sample under-/overshoot risk in methods for function 'getFixRobRegTypeIC'.

risk = "fiUnOvShoot", ErrorDistr = "Norm", Regressor = "UnivariateDistribution", neighbor = "TotalVarNeighborhood"

computes finite-sample under-/overshoot risk in methods for function 'getFixRobRegTypeIC'.

risk = "fiUnOvShoot", ErrorDistr = "Norm", Regressor = "UnivariateDistribution", neighbor = "CondContNeighborhood"

computes finite-sample under-/overshoot risk in methods for function 'getFixRobRegTypeIC'.

risk = "fiUnOvShoot", ErrorDistr = "Norm", Regressor = "UnivariateDistribution", neighbor = "CondTotalVarNeighborhood"

computes finite-sample under-/overshoot risk in methods for function 'getFixRobRegTypeIC'.

Author(s)

Matthias Kohl [e-mail]

References

Huber, P.J. (1968) Robust Confidence Limits. Z. Wahrscheinlichkeitstheor. Verw. Geb. 10:269–278.

Rieder, H. (1989) A finite-sample minimax regression estimator. Statistics 20(2): 211–221.

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

See Also

fiRisk-class

ROptRegTS documentation built on May 2, 2019, 3:40 p.m.