PeerPerformance (version 2.4.0)

confint.SCREENING: Bootstrap confidence intervals for the peer performance ratios

Description

Computes confidence intervals for one of the peer performance ratios (\(\hat\pi^+\), \(\hat\pi^0\), or \(\hat\pi^-\)) of a SCREENING object, by a nonparametric peer (pairwise) bootstrap: for each focal fund its peers are resampled with replacement and the ratio is recomputed from the stored pairwise p-values and test statistics. The interval therefore reflects the peer-composition and aggregation uncertainty, holding the individual pairwise test statistics fixed.

Usage

# S3 method for SCREENING
confint(
  object,
  parm = c("pipos", "pizero", "pineg"),
  level = 0.95,
  ...,
  nBoot = 499L,
  gammaPos = 0.4,
  gammaNeg = 0.6
)

Value

A matrix with one row per fund and two columns (lower and upper bounds); the point estimate is attached as attribute "estimate".

Arguments

object

A SCREENING object (within-group or cross-group; not screen_beta).

parm

Which ratio to bound: "pipos" (default), "pizero", or "pineg".

level

Confidence level. Default: 0.95.

...

Unused.

nBoot

Number of bootstrap resamples. Default: 499.

gammaPos, gammaNeg

One-sided thresholds used to recompute the ratios (should match those of the original screening). Defaults: 0.4, 0.6.

Author

David Ardia and Kris Boudt.

See Also

alphaScreening.

Examples

# \donttest{
data("hfdata")
set.seed(1234)
sc <- alphaScreening(hfdata[, 1:15], control = list(nCore = 1))
confint(sc, parm = "pipos")
# }