beta.r.compute: Computes the restricted estimator in the 'fsst' procedure

In conroylau/lpinfer: An R Package for Inference in Linear Programs

Computes the restricted estimator in the fsst procedure

Description

This function computes the restricted estimator \widehat{\bm{\beta}}^r_n in the fsst procedure.

Usage

beta.r.compute(
  n,
  lpmodel,
  beta.obs.hat,
  beta.tgt,
  beta.n,
  beta.star,
  omega.i,
  indicator,
  solver
)

Arguments

n	The sample size. This is only required if data is omitted in the input.
lpmodel	The lpmodel object.
beta.obs.hat	The sample estimator \widehat{\bm{\beta}}_{\mathrm{obs}, n} based on the given information in lpmodel (and data if applicable).
beta.tgt	The value to be tested.
beta.n	The sample \widehat{\bm{\beta}}_n vector that is defined as \widehat{\bm{\beta}}_n \equiv (\widehat{\bm{\beta}}_{{\rm obs},n}, \bm{\beta}_{{\rm shp},n}, \bm{\beta}_{{\rm tgt}})'.
beta.star	The starred version of the beta.n vector, i.e. \widehat{\bm{\beta}}^\star_n.
omega.i	The matrix \widehat{\bm{\Omega}}^i_n, i.e. the regularized matrix for \widehat{\bm{\Sigma}}^{\beta^\star}_{n,\bar{\rho}}.
indicator	A binary variable that equals to 1 for d \geq p and equals to 0 for d < p.
solver	The name of the linear and quadratic programming solver that is used to obtain the solution to linear and quadratic programs. The solvers supported by this package are cplexAPI, gurobi, limSolve and Rcplex.

Value

Returns the optimal point and optimal value.

objval	The optimal value.
x	The optimal point.

conroylau/lpinfer documentation built on Oct. 25, 2024, 4 a.m.