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Confidence Intervals for RAL Estimators

Source: R/ral.R
confint.ral.Rd

Computes confidence intervals for one or more parameters.

Usage

# S3 method for class 'ral'
confint(
  object,
  parm = NULL,
  level = 0.95,
  fit_idx = 1,
  type = "HC1",
  uniform = FALSE,
  bootstraps = 999L,
  ...
)

Arguments

object

An object inheriting from class ral.

parm

A specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered.

level

Confidence level. Default 0.95.

fit_idx

Integer index of the fit. Defaults to 1.

type

Character. HC type. Default "HC1".

uniform

Logical. If TRUE, computes uniform confidence bands using the multiplier bootstrap. Default FALSE.

bootstraps

Integer number of bootstrap draws. Only used when uniform = TRUE. Default 999.

...

Currently unused.

Value

A matrix with columns for lower and upper bounds. When uniform = TRUE, the attribute "crit_val" contains the critical value.

References

Chernozhukov V, Chetverikov D, Kato K (2013). "Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors." Annals of Statistics, 41(6), 2786-2819.

See also

vcov.ral