fsst.lambda: Data-driven choice of 'lambda' in the 'fsst' procedure
In conroylau/lpinfer: An R Package for Inference in Linear Programs

fsst.lambda

R Documentation

Data-driven choice of `lambda` in the `fsst` procedure

Description

This function provides a data-driven choice of lambda in the fsst procedure.

Usage

fsst.lambda(
  n,
  omega.i,
  beta.n,
  beta.star,
  lpmodel,
  R.succ,
  beta.star.list,
  solver,
  progress,
  df.error,
  p,
  d,
  eval.count
)

Arguments

`n`	The sample size. This is only required if `data` is omitted in the input.
`omega.i`	The matrix `\widehat{\bm{\Omega}}^i_n`, i.e. the regularized matrix for `\widehat{\bm{\Sigma}}^{\beta^\star}_{n,\bar{\rho}}`.
`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`.
`lpmodel`	The `lpmodel` object.
`R.succ`	The number of successful bootstrap replications.
`beta.star.list`	This corresponds to the bootstrap estimates of `beta.star`.
`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`.
`progress`	The boolean variable for whether the progress bars should be displayed. If it is set as `TRUE`, the progress bars will be displayed while the code is running.
`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{\beta}`.
`d`	The number of columns of the `\bm{A}` matrix.
`eval.count`	The count for the number of times the `future_map` function has been called. If this object is zero, it means that the `future_map` function is being called for the first time in this subprocedure. Otherwise, it means that the `future_map` function has been called for more than once. This situation typically refers to the situations where there are some errors in the first time of the replications.

Details

\alpha_n is set as 1 if the number of observations in the data set is less than 16.

Value

Returns the data-driven lambda and the error messages.

`lambda`	The data-driven `lambda`
`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.