loss2_ccsvm function

Composite Loss Value for epsilon-insensitive Type

Compute composite loss value for epsilon-insensitive type function

loss2_irsvm(y, f, weights, cfun, dfun, s, eps, delta=0.0001)

Arguments

• y: response variable values
• f: fitted values of y
• weights: observation weights, same length as y
• cfun: integer from 1-8, concave function as in irsvm_fit
• dfun: integer value, only dfun=2 is implemented for now. Convex function as in irsvm_fit
• s: tuning parameter of cfun. s > 0 and can be equal to 0 for cfun="tcave".
• delta: a small positive number provided by user only if cfun="gcave" and 0 < s <1
• eps: non-negative parameter for epsilon-insensitive loss

Returns

Weighted loss values

Details

For large s values, the loss can be 0 with cfun=2,3,4, or "acave", "bcave", "ccave".

See Also

irglmreg, loss2

References

Zhu Wang (2024) Unified Robust Estimation, Australian & New Zealand Journal of Statistics. 66(1):77-102.

Author(s)

Zhu Wang zwang145@uthsc.edu