ciIter: Function for determining confidence intervals

Description Usage Arguments

View source: R/svr-functions.R

Description

This function performs one iteration of estimating the confidence interval. That is, it performs the l1-SVR regression rankscore test under a single null hypothesis.

Usage

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ciIter(gamma0, index, intercept, Y, X, U, epsilon, lambda, heteroskedastic,
  hc, kappa)

Arguments

gamma0

Scalar, a conjectured value of the coefficient for the covariate of interest, i.e. the covariate for which the confidence interval is being constructed.

index

Integer, indexes which covariate is of interest.

intercept

Boolean, indicates whether an intercept term is included in the regression.

Y

Vector of dependent variable.

X

Matrix of covariates.

U

Vector of residuals from regressing Y on X using l1svr.

epsilon

Real scalar, bandwidth for SVR.

lambda

Real scalar, parameter for SVR that scales the penalty.

heteroskedastic

Boolean, indicate whether data has heteroskedastic errors. If set to TRUE, then density estimation is performed when conducting inference.

hc

Scalar determing the quantiles of a standard normal distribution used to define the bandwidth for nonparametric density estimation. See Powell (1991) and Bai et. al. (2021) for details.

kappa

Scalar that directly scales the bandwdith for nonparametric density estimation. See Powell (1991) and Bai et. al. (2021) for details.

target

Target, equal to the size of the test.


jkcshea/l1svr documentation built on March 4, 2021, 12:51 a.m.