shrink_estimate: Estimate parameter with shrinkage estimator

View source: R/shrink_estimate.R

shrink_estimateR Documentation

Estimate parameter with shrinkage estimator

Description

Estimate parameter with shrinkage estimator

Usage

shrink_estimate(data, estim_base, estim_filt, filtfactor, filtexp)

Arguments

data

A tibble. Consists of raw observations, which may be manipulated to construct filtration and base test statistics.

estim_base

An expression, that its evaluation, with data as an environment, produces a numeric vector of length 1 or data's number of rows. A base statistic.

estim_filt

An expression, that its evaluation, with data as an environment, produces a numeric vector of length 1 or data's number of rows. A filtration statistic.

filtfactor

A numeric constant, used to define the filtration threshold.

filtexp

A numeric constant, used to define the filtration threshold.

Value

data, with additional columns:

  • estim_base, estim_filt: Evaluation results of the corresponding parameter values.

  • filt: Whether or not a filtration has occurred: estim_filt < filtfactor * nobs^(-filtexp).

  • estim_shrink: Shrinkage estimator's value.


yotamleibovici/twostageshrink documentation built on Sept. 15, 2022, 7:30 p.m.