fsst.lambda | R Documentation |
lambda
in the fsst
procedureThis function provides a data-driven choice of lambda
in the fsst
procedure.
fsst.lambda( n, omega.i, beta.n, beta.star, lpmodel, R.succ, beta.star.list, solver, progress, df.error, p, d, eval.count )
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 |
R.succ |
The number of successful bootstrap replications. |
beta.star.list |
This corresponds to the bootstrap estimates of
|
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 |
progress |
The boolean variable for whether the progress bars should
be displayed. If it is set as |
df.error |
A table showing the id of the bootstrap replication(s) with error(s) and the corresponding error message(s). |
p |
The length of the vector \bm{β}. |
d |
The number of columns of the \bm{A} matrix. |
eval.count |
The count for the number of times the |
α_n is set as 1 if the number of observations in the data set is less than 16.
Returns the data-driven lambda
and the error messages.
lambda |
The data-driven |
df.error |
A table showing the id of the bootstrap replication(s) with error(s) and the corresponding error message(s). |
new.error |
The number of new errors. |
error.id |
The indices of the bootstrap replications that give errors. |
R.succ |
The number of successful bootstrap replications. |
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