rpjack {bootruin} | R Documentation |
A Jackknife Estimator of the Standard Error of the Probability of Ruin
Description
This function computes the jackknife estimator of the standard error of the estimator of the probability of ruin given observed claims.
Usage
rpjack(x, ...)
Arguments
x |
A vector or a matrix of numeric data. |
... |
Further options that are passed on to |
Details
If x
is a vector of observed claims, for each element of x
the probability of ruin is
estimated with said element of x
left out. The resulting vector of ruin probabilities has the
same length as x
, and its standard error, properly rescaled, is used to approximate the
standard error of the estimator of the probability of ruin of x
.
This procedure is applied column-wise if x
is a matrix.
Value
A numeric vector of length ncol(as.matrix(x))
.
Note
The calculation of the jackknife standard error can be computationally intensive. In most cases the
computation time can be drastically reduced at the price of a slightly lower accuracy, viz. a higher
value for the interval
argument of ruinprob
.
References
Efron, B. and Tibshirani, R. (1993) An Introduction to the Bootstrap. Chapman and Hall.
Tukey, J. W. (1958) Bias and Confidence in Not Quite Large Samples. The Annals of Mathematical Statistics, 29(2), p. 614.
Quenouille, M. H. (1956) Note on Bias in Estimation. Biometrika, 43, pp. 353–360.
See Also
ruinprob
for valid options that can be used for ...
.