min_abs {SEL}

Find gamma given Delta

Description

Find gamma so that squareroot of average squared distance of fitted distribution and statements is equal to Delta (using the uniroot function). This function is not meant to be called by the user, unless one is familiar with the source code.

Usage

  min_abs(Delta, N, alpha, P, A, b, lb, ub, dplus = 0)

Arguments

Delta

Average root of squared error to be achieved with fitted distribution.

N

Matrix containing the B-spline basis functions evaluated at the elicited quantiles.

alpha

Vector giving the levels of the elicited quantiles.

P

Penalty matrix (called Omega in reference below).

A, b

Matrix and vector containing the specifying the constraints A'b >= 0.

lb, ub

lower and upper bound to search for gamma.

dplus

offset integral needed when divergence instead of entropy is used.

Value

Returns gamma

Author(s)

Bjoern Bornkamp

References

Bornkamp, B. and Ickstadt, K. (2009). A Note on B-Splines for Semiparametric Elicitation. The American Statistician, 63, 373–377

See Also

uniroot, solve.QP