R: Fit an SEL object

fit.SEL {SEL} | R Documentation

## Fit an SEL object

### Description

Function that performs the actual fitting of the expert's distribution via quadratic programming (using the `solve.QP` function from the `quadprog` package). This function is mainly for internal use.

### Usage

    fit.SEL(N, alpha, P, A, b, gamma, dplus = 0)

### Arguments

`N` | Matrix containing the B-spline basis functions evaluated at the elicited quantiles.
`alpha` | Vector giving the levels of the elicited quantiles.
`P` | Penalty matrix (called Omega in the reference below).
`A,b` | Matrix and vector containing the specifying the constraints A'b >= 0.
`gamma` | Gamma parameter trading of goodness of fit and Brier entropy/Brier divergence.
`dplus` | Additional offset for dvec in `solve.QP`.

### Value

Returns solution of the quadratic programming problem.

### Author(s)

Bjoern Bornkamp

### References

Bornkamp, B. and Ickstadt, K. (2009). A Note on B-Splines for Semiparametric Elicitation. The American Statistician, 63, 373–377

Goldfarb, D., and Idnani, A. (1982), Dual and Primal-Dual Methods for Solving Strictly Convex Quadratic Programs, in Numerical Analysis, (eds.) J. Hennart, Springer Verlag, Berlin, pp. 226–239.

Goldfarb, D., and Idnani, A. (1983), A Numerically Stable Dual Method for Solving Strictly Convex Quadratic Programs”, Mathematical Programming, 27, 1–33.

### See Also

`SEL`, `solve.QP`

[Package SEL version 1.0-2 Index]