Nothing
###############################################################################
## get optimally robust IC for convex asymptotic risks
###############################################################################
setMethod("getInfRobRegTypeIC", signature(ErrorL2deriv = "UnivariateDistribution",
Regressor = "Distribution",
risk = "asGRisk",
neighbor = "Av1CondTotalVarNeighborhood"),
function(ErrorL2deriv, Regressor, risk, neighbor, ErrorL2derivDistrSymm,
RegSymm, Finfo, trafo, upper, maxiter, tol, warn){
radius <- neighbor@radius
if(identical(all.equal(radius, 0), TRUE)){
if(warn) cat("'radius == 0' => (classical) optimal IC\n",
"in sense of Cramer-Rao bound is returned\n")
res <- getInfRobRegTypeIC(ErrorL2deriv = ErrorL2deriv, Regressor = Regressor,
risk = asCov(), neighbor = neighbor,
ErrorL2derivDistrSymm = ErrorL2derivDistrSymm,
RegSymm = RegSymm, Finfo = Finfo, trafo = trafo)
Risk <- getAsRiskRegTS(risk = risk, ErrorL2deriv = ErrorL2deriv,
Regressor = Regressor, neighbor = neighbor,
clip = res$b, cent = res$a, stand = res$A,
trafo = trafo)
res$risk <- c(Risk, res$risk)
return(res)
}
z <- function(x){numeric(1)}
A <- trafo
b <- 0
if(is(ErrorL2derivDistrSymm, "SphericalSymmetry"))
z.comp <- !(ErrorL2derivDistrSymm@SymmCenter == 0)
else
z.comp <- TRUE
if(is(Regressor, "UnivariateDistribution")){
if(is(Regressor, "AbscontDistribution")){
xlower <- ifelse(is.finite(q.l(Regressor)(0)), q.l(Regressor)(0), q.l(Regressor)(getdistrOption("TruncQuantile")))
xupper <- ifelse(is.finite(q.l(Regressor)(1)), q.l(Regressor)(1), q.l(Regressor)(1 - getdistrOption("TruncQuantile")))
x.vec <- seq(from = xlower, to = xupper, length = 1000)
}else{
if(is(Regressor, "DiscreteDistribution"))
x.vec <- support(Regressor)
else
x.vec <- unique(r(Regressor)(getdistrOption("RtoDPQ.e")))
}
z.vec <- numeric(length(x.vec))
}else{
if(is(Regressor, "DiscreteMVDistribution"))
x.vec <- support(Regressor)
else
stop("not yet implemented")
z.vec <- numeric(nrow(x.vec))
}
iter <- 0
repeat{
iter <- iter + 1
b.old <- b
z.vec.old <- z.vec
A.old <- A
b <- try(uniroot(getInfClipRegTS, lower = .Machine$double.eps^0.75,
upper = upper, tol = tol, ErrorL2deriv = ErrorL2deriv,
Regressor = Regressor, risk = risk, neighbor = neighbor,
z.comp = z.comp, stand = A, cent = z)$root, silent = FALSE)
if(!is.numeric(b)){
if(warn) cat("Could not determine optimal clipping bound!\n",
"'radius >= maximum radius' for the given risk?\n",
"=> the minimum asymptotic bias (lower case) solution is returned\n")
res <- getInfRobRegTypeIC(ErrorL2deriv = ErrorL2deriv, Regressor = Regressor,
risk = asBias(), neighbor = neighbor,
ErrorL2derivDistrSymm = ErrorL2derivDistrSymm,
trafo = trafo, maxiter = maxiter, tol = tol, warn = warn)
Risk <- getAsRiskRegTS(risk = risk, ErrorL2deriv = ErrorL2deriv,
Regressor = Regressor, neighbor = neighbor,
clip = res$b, cent = res$a, stand = res$A,
trafo = trafo)
res$risk <- c(Risk, res$risk)
return(res)
}
zz <- getInfCentRegTS(ErrorL2deriv = ErrorL2deriv, Regressor = Regressor,
neighbor = neighbor, clip = b, cent = z, stand = A,
z.comp = z.comp, x.vec = x.vec, tol.z = tol)
z.vec <- zz$z.vec
z <- zz$z.fct
if(is(Regressor, "UnivariateDistribution"))
A <- A.old
else
A <- getInfStandRegTS(ErrorL2deriv = ErrorL2deriv, Regressor = Regressor,
neighbor = neighbor, z.comp = z.comp, clip = b, cent = z,
stand = A, trafo = trafo)
prec <- max(abs(b-b.old), abs(A-A.old), abs(z.vec-z.vec.old))
if(z.comp)
cat("current precision in IC algo:\t", prec, "\n")
if(is(Regressor, "UnivariateDistribution") & (!z.comp)) break
if(prec < tol) break
if(iter > maxiter){
cat("maximum iterations reached!\n", "achieved precision:\t", prec, "\n")
break
}
}
if(is(Regressor, "UnivariateDistribution")){
A <- getInfStandRegTS(ErrorL2deriv = ErrorL2deriv, Regressor = Regressor,
neighbor = neighbor, z.comp = z.comp, clip = b, cent = z,
stand = A, trafo = trafo)
b <- as.vector(A) * b
a.fct <- function(x){ A * z(x) }
body(a.fct) <- substitute({ A * z(x) }, list(z = z))
a <- RealRandVariable(Map = list(a.fct), Domain = img(Regressor))
}else{
a <- RealRandVariable(Map = list(z), Domain = img(Regressor))
}
info <- paste("optimally robust IC for", sQuote(class(risk)[1]))
Risk <- getAsRiskRegTS(risk = risk, ErrorL2deriv = ErrorL2deriv,
Regressor = Regressor, neighbor = neighbor,
clip = b, cent = a, stand = A, trafo = trafo)
Risk <- c(Risk, list(asBias = b))
return(list(A = A, a = a, b = b, d = NULL, risk = Risk, info = info))
})
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