unif_ctff_series: unif_ctff_series

In matteobonvini/drl.cate: What the Package Does (One Line, Title Case)

unif_ctff_series

Description

This function calculates the quantile of sup_v|tauhat(v) - tau(v)| / sigma(v) when tauhat(x) is based on a orthogonal series second stage regression.

Usage

unif_ctff_series(design.mat.v0, residuals, design.mat, B, alpha)

Arguments

design.mat.v0	design matrix of evaluation points.
residuals	observed residuals, i.e. pseudo.y - fitted.
B	number of bootstrap replications.
alpha	1-confidence level, e.g. alpha = 0.05.
design.mat.v	design matrix of observed v points.

Value

a list containing the following components:

cutoff	the estimated quantile
sigma.hat	vector of estimated standard devition of sigma(v)
Omega.hat.sqrt	Omega matrix

References

Chernozhukov et al (2014).

matteobonvini/drl.cate documentation built on Nov. 10, 2024, 12:20 a.m.