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Smallest sigma_eps guaranteeing the differencing-risk ceiling

Source: R/calibration_differencing.R
pm_sigma_eps.Rd

Closed-form inversion of the worst-case upper bound of the differencing risk (Proposition 7 of the paper)

Usage

pm_sigma_eps(beta, tau)

Arguments

beta, tau

Numeric. Accuracy threshold and risk ceiling.

Value

sigma_eps, vectorised over beta/tau.