chilam: Half-length Solver

In koohyun-kwon/OptACI: Methods to Construct Optimal Average Coverage Confidence Intervals

Description

Solves for the half-length corresponding to a shrinkage factor.

Usage

chilam(lam, xvec, alpha, Jn)

Arguments

lam	a scalar shrinkage factor λ.
xvec	normalized observed outcome vector, corresponding to z_i in the paper.
alpha	desired level of non-coverage probability.
Jn	the order of polynomial approximation.

Value

the estimated value of the half-length χ which gives the correct coverage given the value of lam.

Examples

thvec <- rnorm(50)
xvec <- rnorm(50, thvec)
chilam(0.6, xvec, 0.05)
chilam(0.4, xvec, 0.05, 2)

koohyun-kwon/OptACI documentation built on Oct. 6, 2020, 8:09 a.m.