Calibrated Projection in MATLAB: Users' Manual
Hiroaki Kaido, Francesca Molinari, J\"org Stoye, Matthew Thirkettle
TL;DR
This paper introduces a MATLAB package for constructing confidence intervals for projections of partially identified parameters and solving nonlinear optimization problems with estimated constraints.
Contribution
It provides a practical implementation of the calibrated projection method, facilitating inference and optimization in complex statistical models.
Findings
Enables confidence interval computation for partially identified parameters.
Supports solving nonlinear optimization problems with estimated constraints.
Offers a user-friendly MATLAB package for applied researchers.
Abstract
We present the calibrated-projection MATLAB package implementing the method to construct confidence intervals proposed by Kaido, Molinari and Stoye (2017). This manual provides details on how to use the package for inference on projections of partially identified parameters. It also explains how to use the MATLAB functions we developed to compute confidence intervals on solutions of nonlinear optimization problems with estimated constraints.
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Taxonomy
TopicsAdvanced Multi-Objective Optimization Algorithms · Probabilistic and Robust Engineering Design · Control Systems and Identification