beta.star.qp | R Documentation |
This function computes the vector
\widehat{\bm{β}}_n^\star for the case where d<p in the
fsst
procedure.
beta.star.qp( data, lpmodel, beta.tgt, weight.mat, beta.obs.hat, beta.sigma, solver )
data |
An |
lpmodel |
The |
beta.tgt |
The value to be tested. |
weight.mat |
The weighting matrix for the |
beta.obs.hat |
The sample estimator
\widehat{\bm{β}}_{\mathrm{obs}, n} based on the given
information in |
beta.sigma |
The variance estimator of \bm{β}_{\rm obs}. |
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 |
This corresponding to solving the following quadratic program
\min_{x \in \mathbf{R}^d} \,\, ≤ft(\hat{β}_{{\rm obs}, n} - A_{\rm obs} x\right)' \hat{Ξ} ≤ft(\hat{β}_{{\rm obs}, n} - A_{\rm obs} x\right) \quad \mathrm{s.t. } \quad A_{\rm shp} x = β_{\rm shp} \quad \mathrm{ and } \quad A_{\rm tgt} x = β_{\rm tgt}
in the fsst
procedure.
Returns the following objects:
beta.star |
The vector \widehat{\bm{β}}_n^\star. |
x |
The optimal point. |
status |
The status of the optimization problem. |
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