Generic Function for the Computation of the Optimal Clipping Bound

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Description

Generic function for the computation of the optimal clipping bound/function. This function is rarely called directly. It is used to compute optimally robust ICs in case of fixed robust models.

Usage

1

Arguments

clip

optimal clipping bound.

ErrorDistr

error distribution.

Regressor

regressor.

risk

object of class "RiskType".

neighbor

object of class "Neighborhood".

...

additional parameters.

Value

The optimal clipping bound/function is computed.

Methods

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

optimal clipping bound for finite-sample under-/overshoot risk.

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

optimal clipping bound for finite-sample under-/overshoot risk.

clip = "numeric", ErrorDistr = "Norm", Regressor = "numeric", risk = "fiUnOvShoot", neighbor = "CondContNeighborhood"

optimal clipping function for finite-sample under-/overshoot risk.

clip = "numeric", ErrorDistr = "Norm", Regressor = "numeric", risk = "fiUnOvShoot", neighbor = "CondTotalVarNeighborhood"

optimal clipping function for finite-sample under-/overshoot risk.

Author(s)

Matthias Kohl Matthias.Kohl@stamats.de

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

ContIC-class, TotalVarIC-class, Av1CondContIC-class, Av2CondContIC-class, Av1CondTotalVarIC-class, CondContIC-class, CondTotalVarIC-class

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