Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: cafpe
See also: tp/cafpe/fgrfsv

Quantlet: fpefsv
Description: Quantlet to compute (C)AFPE given estimates for B and C and the asymptotically optimal bandwidth. If a scalar bandwidth is given it computes AFPE, CAFPE using this bandwidth. If a vector bandwidth is given, it only computes Ahat and the residuals.


Reference(s):

Usage: { afpe,cafpe,wnsig2hatc,Ahat,resid } = fpefsv(xsj,yorig,hA,xtj,kernel,estimator,Bhat,Chat,perA,Ksqint,ntotal);
Input:
ATTENTION: this quantlet requires to open locling.dll, density.dll (NT) or locling.so, denc.so (UNIX). This can be done with the quantlet cafpeload or directly with garb = dlopen ("\locling.dll") on NT, garb = dlopen ("/locling.so") on UNIX.
xsj (ny x d) matrix with explanatory variables for all dependenet observations
yorig (ny x 1) vector with dependent variable
hA scalar estimate of asymptotically optimal bandwidth or (d x 1) vector of bandwidth. For the vector bandwidth only the residuals are computed while zeros are returned for afpe,cafpe,wnsig2hatc
xtj (nx x d) matrix with values at which function has to be estimated
kernel character variable to select kind of kernel: "gaussian": Gaussian kernel
estimator character variable for selection nonparametric estimator "loclin": local linear estimator; other estimators not implemented
Bhat scalar, estimate of B as in TY, Section 3, YT, Section 3.4
Chat scalar, estimate of C as in TY, Section 2, YT, Section 3.4
perA scalar, parameter used for screening off 0 <= per_A <= 1 percent of the observations with the lowest density for estimating A, see eq. (3.1) and Section 5 in TY or TA
Ksqint scalar, constant of kernel ||K||2^2 = integral of K(u)^2 du
ntotal scalar, number of observations for estimating B
Output:
afpe scalar, local linear estimate of AFPE in TY, eq. (3.4), for vector bandwidth a zero is returned
cafpe scalar, local linear estimate of CAFPE in TY, eq. (4.1) for vector bandwidth a zero is returned
wnsig2hatc scalar, local linear estimate of A using eq. (3.3) in TY for vector bandwidth a zero is returned
Ahat scalar, local linear estimate of A in TY, eq. (3.1)
resid (ny x 1) vector of estimated residuals

Library: cafpe
See also: tp/cafpe/fgrfsv

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Tschernig 000420
(C) MD*TECH Method and Data Technologies, 27.4.2000