getFixClipRegTS: Generic Function for the Computation of the Optimal Clipping Bound

Description

Generic function for the computation of the optimal clipping bound/function. This function is rarely called directly. It is used to compute optimally robust ICs in case of fixed robust models.

Usage

getFixClipRegTS(clip, ErrorDistr, Regressor, risk, neighbor, ...)

Arguments

clip

optimal clipping bound.

ErrorDistr

error distribution.

Regressor

regressor.

risk

object of class "RiskType".

neighbor

object of class "Neighborhood".

…

additional parameters.

Value

The optimal clipping bound/function is computed.

Methods

clip = "numeric", ErrorDistr = "Norm", Regressor = "UnivariateDistribution", risk = "fiUnOvShoot", neighbor = "ContNeighborhood": optimal clipping bound for finite-sample under-/overshoot risk.
clip = "numeric", ErrorDistr = "Norm", Regressor = "UnivariateDistribution", risk = "fiUnOvShoot", neighbor = "TotalVarNeighborhood": optimal clipping bound for finite-sample under-/overshoot risk.
clip = "numeric", ErrorDistr = "Norm", Regressor = "numeric", risk = "fiUnOvShoot", neighbor = "CondContNeighborhood": optimal clipping function for finite-sample under-/overshoot risk.
clip = "numeric", ErrorDistr = "Norm", Regressor = "numeric", risk = "fiUnOvShoot", neighbor = "CondTotalVarNeighborhood": optimal clipping function for finite-sample under-/overshoot risk.

References

Huber, P.J. (1968) Robust Confidence Limits. Z. Wahrscheinlichkeitstheor. Verw. Geb. 10:269--278.

Rieder, H. (1989) A finite-sample minimax regression estimator. Statistics 20(2): 211--221.

Kohl, M. (2005) Numerical Contributions to the Asymptotic Theory of Robustness. Bayreuth: Dissertation.