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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.

Usage

pm_sigma_eps(beta, tau)

Arguments

beta, tau

Numeric. Accuracy threshold and risk ceiling.

Value

A numeric vector of sigma_eps values, vectorised over beta/tau.

See also

dominoise-package (Proposition 7 of the paper).

Examples

pm_sigma_eps(beta = 0.05, tau = 0.95)
#> [1] 0.02551067
pm_sigma_eps(beta = c(0.05, 0.1), tau = 0.9)
#> [1] 0.03039784 0.06079568