bias_AND_scaledvar {kader} | R Documentation |
Estimators of Bias and Scaled Variance
Description
“Workhorse” function for vectorized (in \sigma
) computation of both
the bias estimator and the scaled variance estimator of eq. (2.3) in Srihera
& Stute (2011), and for the analogous computation of the bias and scaled
variance estimator for the rank transformation method in the paragraph
after eq. (6) in Eichner & Stute (2013).
Usage
bias_AND_scaledvar(sigma, Ai, Bj, h, K, fnx, ticker = FALSE)
Arguments
sigma |
Numeric vector |
Ai |
Numeric vector expecting |
Bj |
Numeric vector expecting |
h |
Numeric scalar, where (usually) |
K |
Kernel function with vectorized in- & output. |
fnx |
|
ticker |
Logical; determines if a 'ticker' documents the iteration
progress through |
Details
Pre-computed f_n(x_0)
is expected for efficiency reasons (and is
currently prepared in function adaptive_fnhat
).
Value
A list with components BiasHat
and VarHat.scaled
, both
numeric vectors of same length as sigma
.
References
Srihera & Stute (2011) and Eichner & Stute (2013): see kader.
Examples
require(stats)
set.seed(2017); n <- 100; Xdata <- sort(rnorm(n))
x0 <- 1; Sigma <- seq(0.01, 10, length = 21)
h <- n^(-1/5)
Ai <- (x0 - Xdata)/h
fnx0 <- mean(dnorm(Ai)) / h # Parzen-Rosenblatt estimator at x0.
# non-robust method:
Bj <- mean(Xdata) - Xdata
# # rank transformation-based method (requires sorted data):
# Bj <- -J_admissible(1:n / n) # rank trafo
kader:::bias_AND_scaledvar(sigma = Sigma, Ai = Ai, Bj = Bj, h = h,
K = dnorm, fnx = fnx0, ticker = TRUE)