fsst.cone.bs.fn | R Documentation |
This function computes one bootstrap estimate of the cone component of the test statistics.
fsst.cone.bs.fn( beta.star.bs, n, omega.i, beta.n, beta.star, lpmodel, lambda, indicator, beta.r, solver, pbar, progress, n.bs, eval.count, data.driven )
beta.star.bs |
One bootstrap estimate of the |
n |
The sample size. This is only required if |
omega.i |
The matrix \widehat{\bm{Ω}}^i_n, i.e. the regularized matrix for \widehat{\bm{Σ}}^{β^\star}_{n,\bar{ρ}}. |
beta.n |
The sample \widehat{\bm{β}}_n vector that is defined as \widehat{\bm{β}}_n \equiv (\widehat{\bm{β}}_{{\rm obs},n}, \bm{β}_{{\rm shp},n}, \bm{β}_{{\rm tgt}})'. |
beta.star |
The starred version of the |
lpmodel |
The |
lambda |
Parameter used to obtain the restricted estimator
\widehat{\bm{β}}^r_n. A data-driven parameter |
indicator |
A binary variable that equals to 1 for d ≥q p and equals to 0 for d < p. |
beta.r |
The restricted estimator. |
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 |
pbar |
The progress bar object. |
progress |
The boolean variable for whether the progress bars should
be displayed. If it is set as |
n.bs |
The total number of replications to be conducted in this procedure. |
eval.count |
The count for the number of times the |
data.driven |
A boolean variable. This indicates whether the data-driven problem is being considered. |
Return the following list of objects:
Ts |
The bootstrap cone test statistic. |
msg |
An error message (if applicable). |
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