find_root {PoSIAdjRSquared} | R Documentation |
This function is used internally by the function compute_ci_with_specified_interval for inverting post-selection p-values to confidence intervals.
find_root(z_interval, etajTy, tn_sigma, y, lb, ub, tol=1e-6)
z_interval |
The intervals of type "list" where the OLS estimator gets selected: can be obtained from function "solve_selection_event" |
etajTy |
The OLS estimator of the j'th selected coefficient in the selected model of type "matrix" and dimension 1x1 |
tn_sigma |
Integer for the variance of the truncated sampling distribution of the test statistic |
y |
For example 1.0-0.5*alpha for finding the lower bound of a (1-alpha)% confidence interval, and 0.5*alpha for finding the upper bound of a (1-alpha)% confidence interval |
lb |
Lower bound in current iteration |
ub |
Upper bound in current iteration |
tol |
Tolerance parameter: default set to 1e-6 |
Returns confidence interval bound
Pirenne, S. and Claeskens, G. (2024). Exact Post-Selection Inference for Adjusted R Squared.