Constant for the Optimal Loss (Weight) Function
DESCRIPTION:
Returns the constant of the optimal loss (weight) function, given the asymptotic
efficiency.
USAGE:
lmRobMM.effvy(eff)
REQUIRED ARGUMENTS:
- eff
-
the asymptotic efficiency required.
VALUE:
the constant of the optimal loss (weight) function which will give the required
asymptotic efficiency.
REFERENCES:
Gervini, D., and Yohai, V. (1997): A robust and fully efficient weighted
least squares estimator. mimeo.
SEE ALSO:
.