These functions are used internally to generate interpolation grids,
for Lagrange multipliers or LDEstimators in package RobExtremes,
to be stored in the respective sysdata.rda
file.
.getPsi(param, fct, L2Fam , type)
.getPsi.wL(param, fct, L2Fam , type)
.getPsi.P(xi, L2Fam , type)
.is.na.Psi(param, fct, nam = "shape")
.modify.xi.PFam.call(xi, PFam)
.RMXE.xi(xi, PFam)
.MBRE.xi(xi, PFam)
.OMSE.xi(xi, PFam)
.getLMGrid(xiGrid = getShapeGrid(), PFam = GParetoFamily(scale=1,shape=2),
optFct = .RMXE.xi, GridFileName="LMGrid.Rdata", withPrint = FALSE,
len = 13)
.svInt(optF = .RMXE.th, xiGrid = getShapeGrid(700, cutoff.at.0=0.005),
PFam = GParetoFamily(shape=1,scale=2), radius = 0.5, upper = 1e4,
lower = 1e-4, OptOrIter = "iterate", maxiter = 150,
tol = .Machine$double.eps^0.5, loRad = 0, upRad = Inf, loRad0 = 1e-3,
loRad.s = 0.2, up.Rad.s = 1, withStartLM = TRUE, len = 13, namFzus = "")
.generateInterpGridSn(xiGrid = getShapeGrid(500, cutoff.at.0=0.005),
PFam = GParetoFamily(), withPrint = TRUE)
object of class "ParamFamParameter"
.
list of functions containing the interpolators.
an object of class "L2ParamFamily"
, the parametric family
at which to evaluate the Lagrange multipliers or LDEstimators;
in our use case, it is a shape-scale model, hence the respective
(main) parameter must contain "scale"
and "shape"
.
character; name of the shape parameter.
type of the optimality: one of ".OMSE" for maxMSE, ".RMXE" for rmx, and ".MBRE" for MBRE.
numeric of length 1; shape value.
an object of class "ParamFamily"
, the parametric family
at which to evaluate the Lagrange multipliers or LDEstimators;
in our use case, it is a shape-scale model, hence the respective
(main) parameter must contain "scale"
and "shape"
.
numeric; grid of shape values.
function with arguments xi
and PFam
;
determines the Lagrange multipliers.
character; if GridFileName!=""
, the pure
y-grid values are saved under this filename.
logical of length 1: shall current shape value be printed out?
[for OMSE]: positive numeric of length 1: the radius of the neighborhood for which the LM's are to be computed; defaults to 0.5.
the lower end point of the interval to be searched in the inner optimization (for the least favorable situation to the user-guessed radius).
the upper end point of the interval to be searched in the inner optimization (for the least favorable situation to the user-guessed radius).
the lower end point of the interval
to be searched in the outer optimization
(for the user-guessed radius); if NULL
set to loRad
in the algorithm.
the upper end point of the interval to be searched in the
outer optimization (for the user-guessed radius); if
NULL
set to upRad
in the algorithm.
upper bound for the optimal clipping bound.
lower bound for the optimal clipping bound.
character; which method to be used for determining Lagrange
multipliers A
and a
: if (partially) matched to "optimize"
,
getLagrangeMultByOptim
is used; otherwise: by default, or if matched to
"iterate"
or to "doubleiterate"
,
getLagrangeMultByIter
is used. More specifically,
when using getLagrangeMultByIter
, and if argument risk
is of
class "asGRisk"
, by default and if matched to "iterate"
we use only one (inner) iteration, if matched to "doubleiterate"
we use up to Maxiter
(inner) iterations.
for numerical reasons: the effective lower bound for the zero search;
internally set to max(loRad,loRad0)
.
logical of length 1: shall the LM's of the preceding grid value serve as starting value for the next grid value?
integer; number of Lagrange multipliers to be calibrated.
character; infix for the name of the .csv
-File
to which the results are written; used to split the
work on xi-grids into chunks.
an IC.
logical of length 1.
A call to evaluate the parametric family at the new parameter value.
A list with items b
(a number; clipping height),
a
(a 2-vector; outer centering),
a.w
(a 2-vector; inner centering, in
the weight), A
(a 2x2 matrix; outer standardization),
A.w
(a 2x2 matrix; inner standardization, in the weight).
as .MBRE.xi
.
as .MBRE.xi
.
A list with items grid
, a matrix with the interpolation
grid and fct
a function in x
(the shape)
and i
deciding on the Lagrange multiplier.
invisible(NULL)
invisible(NULL)
.getpsi
reads the respective interpolating function
from an object from sysdata.rda
and generates a respective
HampelIC
object by a call to generateIC
.
.getpsi.wL
does the same thing for the 3-dim model
GEVFamilyMuUnknown
.
Last, due to scale equivariance, or the ParetoFamliy
, .getpsi.P
reads the LM's for the reference parameter and then generates
the respective HampelIC
object by a call to generateIC
.
.is.na.Psi
checks whether the shape parameter already lies
beyond the range for which inter-/extrapolation is admitted
(and, correspondingly, returns TRUE
if one has to compute the
IC completely anew.).
.MBRE.xi
computes the Lagrange multipliers for the MBRE estimator,
.OMSE.xi
for the OMSE estimator at radius r=0.5
,
and .RMXE.xi
the RMXE estimator.
.svInt
is a short form for ROptEst:::.generateInterpGrid
for LM interpolation.