Description Usage Arguments Value References Examples
Computes empirical Bayes estimators based on shrinking towards a regression, and associated robust empirical Bayes confidence intervals (EBCIs), as well as length-optimal robust EBCIs.
1 2 3 4 5 6 7 8 9 10 |
formula |
object of class |
data |
optional data frame, list or environment (or object coercible by
|
se |
Standard errors sigma associated with the preliminary
estimates |
weights |
An optional vector of weights to be used in the fitting
process in computing delta, mu_2 and
kappa. Should be |
alpha |
Determines confidence level, 1-alpha. |
kappa |
If non- |
wopt |
If |
fs_correction |
Finite-sample correction method used to compute
mu_2 and kappa. These corrections ensure that
we do not shrink the preliminary estimates |
Returns a list with the following components:
mu2
Estimated second moment of
theta-X*delta, mu_2. Vector
of length 2, the first element corresponds to the estimate after the
finite-sample correction as specified by fs_correction
, the second
element is the uncorrected estimate.
kappa
Estimated kurtosis kappa of
theta-X*delta. Vector of length 2 with the same
structure as mu2
.
delta
Estimated regression coefficients delta
X
Matrix of regressors
alpha
Determines confidence level 1-α used.
df
Data frame with components described below.
df
has the following components:
w_eb
EB shrinkage factors, mu_2/(mu_2+sigma^2_i)
w_opt
Length-optimal shrinkage factors
ncov_pa
Maximal non-coverage of parametric EBCIs
len_eb
Half-length of robust EBCIs based on EB shrinkage, so
that the intervals take the form cbind(th_eb-len_eb, th_eb+len_eb)
len_op
Half-length of robust EBCIs based on length-optimal
shrinkage, so that the intervals take the form cbind(th_op-len_op,
th_op+len_op)
len_pa
Half-length of parametric EBCIs, which take the form
cbind(th_eb-len_pa, th_eb+len_a)
len_us
Half-length of unshrunk CIs, which take the form
cbind(th_us-len_us, th_us+len_us)
th_us
Unshrunk estimate Y
th_eb
EB estimate.
th_op
Estimate based on length-optimal shrinkage.
se
Standard error sigma, as supplied by the
argument se
weights
Weights used
residuals
The residuals Y_i-X_i*delta
Armstrong, Timothy B., Kolesár, Michal, and Plagborg-Møller, Mikkel (2020): Robust Empirical Bayes Confidence Intervals, https://arxiv.org/abs/2004.03448
1 2 3 4 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.