rgsOptIC.AL | R Documentation |
The function rgsOptIC.AL
computes the optimally robust IC
for AL estimators in case of linear regression with unknown
scale and (convex) contamination neighborhoods where the
regressor is random; confer Subsubsection 7.2.1.1 of Kohl (2005).
rgsOptIC.AL(r, K, theta, scale = 1, A.rg.start, a.sc.start = 0, A.sc.start = 0.5,
bUp = 1000, delta = 1e-06, itmax = 50, check = FALSE)
r |
non-negative real: neighborhood radius. |
K |
object of class |
theta |
specified regression parameter. |
scale |
specified error scale. |
A.rg.start |
positive definite and symmetric matrix: starting value for the standardizing matrix of the regression part. |
a.sc.start |
real: starting value for centering constant of the scale part. |
A.sc.start |
positive real: starting value for the standardizing constant of the scale part. |
bUp |
positive real: the upper end point of the interval to be searched for b. |
delta |
the desired accuracy (convergence tolerance). |
itmax |
the maximum number of iterations. |
check |
logical. Should constraints be checked. |
If theta
is missing, it is set to 0.
If A.rg.start
is missing, the inverse of the
second moment matrix of K
is used.
The Lagrange multipliers contained in the expression
of the optimally robust IC can be accessed via the
accessor functions cent
, clip
and stand
.
Object of class "ContIC"
Matthias Kohl Matthias.Kohl@stamats.de
Rieder, H. (1994) Robust Asymptotic Statistics. New York: Springer.
Kohl, M. (2005) Numerical Contributions to the Asymptotic Theory of Robustness. Bayreuth: Dissertation.
ContIC-class
K <- DiscreteDistribution(1:5) # = Unif({1,2,3,4,5})
IC1 <- rgsOptIC.AL(r = 0.1, K = K)
checkIC(IC1)
Risks(IC1)
cent(IC1)
clip(IC1)
stand(IC1)
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