getFixRobRegTypeIC: Generic Function for the Computation of Optimally Robust...

In ROptRegTS: Optimally Robust Estimation for Regression-Type Models

Description

Generic function for the computation of optimally robust regression-type ICs in case of fixed robust models. This function is rarely called directly.

Usage

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

## S4 method for signature 
## 'Norm,UnivariateDistribution,fiUnOvShoot,UncondNeighborhood'
getFixRobRegTypeIC(ErrorDistr, 
            Regressor, risk, neighbor, sampleSize, upper, maxiter, tol, warn, Algo, cont)

## S4 method for signature 
## 'Norm,UnivariateDistribution,fiUnOvShoot,CondNeighborhood'
getFixRobRegTypeIC(ErrorDistr, 
            Regressor, risk, neighbor, sampleSize, upper, maxiter, tol, warn, Algo, cont)

Arguments

ErrorDistr	error distribution
Regressor	regressor
risk	object of class "RiskType".
neighbor	object of class "Neighborhood".
...	additional parameters.
sampleSize	integer: sample size.
upper	upper bound for the optimal clipping bound.
maxiter	the maximum number of iterations.
tol	the desired accuracy (convergence tolerance).
warn	logical: print warnings.
Algo	"A" or "B".
cont	"left" or "right".

Value

The optimally robust IC is computed.

Methods

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

computes the optimally robust influence curve for one-dimensional normal regression and finite-sample under-/overshoot risk.

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

computes the optimally robust influence curve for one-dimensional normal regression and finite-sample under-/overshoot risk.

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

FixRobRegTypeModel-class

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