Hi,
I am doing some bootstrap. This the is the method I am procceding:
I select a value of sigma and set the sharp ratio = 4. From this I can
compute the mean mu.
For a set sample size say n = 11, I generate 999 samples of size 11 with
the sigma and mean above.
This is a 11 x 999 matrix. Now, I repeat this process 1111 times. so I
have a list of 1111 (11 x 999) matrices.
For each of the 1111 matrices, I compute the sharp ratio for each of the
999 columns. The means of these 999 srs are taken and put in a column.
These are the point estimates of the sharp ratios. I create a 0.025 and
0.975 quantile and store these in a matrix. SO I have a 1111 x 2 matrix
with these confidence intrevcals.
I want to do the following:
(1) Compute the coverage probability
(2) The coverage error
(3) The length pf the interval
(4)The loeft bias
(5) The right bias
(6) The relative bias.
Any help with the code is greatly appreciated.
--
Thanks,
Jim.
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
