fit.SEL: Fit an SEL object

In SEL: Semiparametric Elicitation

Fit an SEL object

Description

Function that performs the actual fitting of the expert's distribution via quadratic programming (using the solve.QP function from the quadprog package). This function is mainly for internal use.

Usage

fit.SEL(N, alpha, P, A, b, gamma, dplus = 0)

Arguments

N	Matrix containing the B-spline basis functions evaluated at the elicited quantiles.
alpha	Vector giving the levels of the elicited quantiles.
P	Penalty matrix (called Omega in the reference below).
A,b	Matrix and vector containing the specifying the constraints A'b >= 0.
gamma	Gamma parameter trading of goodness of fit and Brier entropy/Brier divergence.
dplus	Additional offset for dvec in solve.QP.

Value

Returns solution of the quadratic programming problem.

Author(s)

Bjoern Bornkamp

References

Bornkamp, B. and Ickstadt, K. (2009). A Note on B-Splines for Semiparametric Elicitation. The American Statistician, 63, 373–377

Goldfarb, D., and Idnani, A. (1982), Dual and Primal-Dual Methods for Solving Strictly Convex Quadratic Programs, in Numerical Analysis, (eds.) J. Hennart, Springer Verlag, Berlin, pp. 226–239.

Goldfarb, D., and Idnani, A. (1983), A Numerically Stable Dual Method for Solving Strictly Convex Quadratic Programs”, Mathematical Programming, 27, 1–33.

See Also

SEL, solve.QP

SEL documentation built on Nov. 25, 2023, 5:09 p.m.