Conditional expectation of the absolute relative loss |Z|

E(|Z| | P = rho) = sqrt(2 (rho^(2n) sigma_nu^2 + sigma_eps^2) / pi) (Proposition 3 of the paper): the average relative perturbation undergone by a cell of dominance rho. Contrary to the differencing step – where letting rho -> 0 makes the sigma_nu term vanish – the sigma_nu contribution is kept in full here.

Usage

assess_loss_expectation(rho, sigma_nu, sigma_eps, n)

Arguments

rho

Dominance share X1/Y in (0,1]. Recycled.

sigma_nu, sigma_eps, n

Mechanism parameters. Recycled.

Value

E(|Z| | rho) as a relative quantity (multiply by 100 for percent).

Examples

assess_loss_expectation(rho = 1, sigma_nu = 0.3, sigma_eps = 0.03, n = 6)
#> [1] 0.2405592