Integral, Measure and Martingale
Every time I think I know what's going on, suddenly there's another layer of complications.
2017年4月18日星期二
A function to calculate Asymptotic Relative Efficiency (ARE) of signed-rank Wilcoxon and contaminated normals
#sigma1=1 and sigma2=3
ARE_W_t<-function(epsilon){
effi<-(((1-epsilon)^2/(2*sqrt(pi))+epsilon^2/(6*sqrt(pi))+epsilon*(1-epsilon)/(2*sqrt(pi)))*sqrt(12))^2*(1+epsilon*8)
return (effi)
}
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