Nonparametric Quantile Density Estimation and Structural Analysis of First-Price Auctions

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Documentation for package ‘qdfauction’ version 0.2.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

bcv_criterion	Cross-validation criteria for quantile density estimators
check_kernel	Construct and check a kernel for the kernel-type estimators
copula_delta	Copula multiplier and diagonal functions of exchangeable Archimedean copulas
copula_delta_prime	Copula multiplier and diagonal functions of exchangeable Archimedean copulas
copula_fit	Pseudo-maximum-likelihood estimation of an Archimedean copula from bids
copula_psi	Copula multiplier and diagonal functions of exchangeable Archimedean copulas
copula_psi_np	Nonparametric estimator of the copula multiplier
copula_spec_test	Specification test for a parametric copula of the private values
copula_tau_to_theta	Convert between Kendall's tau and the copula parameter
copula_theta_to_tau	Convert between Kendall's tau and the copula parameter
density_marmer_shneyerov	Quantile-based density estimator of Marmer and Shneyerov (2012)
dwt_periodic	Periodic discrete wavelet transform
fpa_bid_function	Equilibrium bid function of a symmetric first-price auction
fpa_corner_test	Test for a corner solution of the optimal reserve under affiliation
fpa_density	Nonparametric estimation of the private-value density in first-price auctions
fpa_density_boot	Bootstrap confidence intervals and bands for any private-value density estimator
fpa_density_ci	Confidence intervals and uniform confidence bands for the private-value density
fpa_density_cv	Compare density estimators by held-out log-likelihood
fpa_evaluate_density	Evaluate recovered values or an estimated density against the truth
fpa_evaluate_values	Evaluate recovered values or an estimated density against the truth
fpa_montecarlo	Monte Carlo comparison of estimators
fpa_optimal_reserve	Optimal reserve price from recovered private values
fpa_optimal_reserve_model	Expected revenue and optimal reserve price of a known model
fpa_optimal_reserve_qd	Expected revenue and optimal reserve by the quantile-density functional
fpa_revenue	Plug-in estimator of the seller's expected revenue
fpa_revenue_boot	Bootstrap inference for the expected-revenue estimator
fpa_revenue_model	Expected revenue and optimal reserve price of a known model
fpa_revenue_qd	Expected revenue and optimal reserve by the quantile-density functional
fpa_simulate	Simulate first-price sealed-bid auctions
fpa_values	Recover private values from first-price auction bids
fpa_virtual_value	Affiliated virtual value
fpa_virtual_value_model	Affiliated virtual value
idwt_periodic	Periodic discrete wavelet transform
kde_hh	Boundary-corrected kernel density estimator of Hickman and Hubbard (2015)
loclin_smooth	Local-linear smoother with Gaussian kernel
make_kernel	Construct and check a kernel for the kernel-type estimators
phi_jk	Evaluate scaling functions phi_{j,k}(z) = 2^{j/2}phi(2^j z - k)
phi_per	Mother wavelet and periodised wavelet basis on the unit interval
plot.fpa_density	Plot an estimated private-value density
plot.fpa_density_boot	Bootstrap confidence intervals and bands for any private-value density estimator
plot.fpa_density_ci	Plot a GPV density estimate with confidence bands
plot.fpa_revenue_boot	Plot a revenue curve with bootstrap bands
plot.fpa_values	Plot recovered private values against bids
plot.qdf	Plot a quantile density estimate
predict.qdf	Predict from a fitted quantile density estimate
print.fpa_corner_test	Test for a corner solution of the optimal reserve under affiliation
psi_jk	Mother wavelet and periodised wavelet basis on the unit interval
psi_per	Mother wavelet and periodised wavelet basis on the unit interval
qdf	Nonparametric estimation of a quantile density function
qdf_bernstein	Series estimators of the quantile density
qdf_bernstein_loo	Series estimators of the quantile density
qdf_indirect_poisson	Indirect estimators of the quantile density
qdf_jones	Indirect estimators of the quantile density
qdf_kernel	Direct kernel estimators of the quantile density
qdf_kernel_corrected	Direct kernel estimators of the quantile density
qdf_poisson	Series estimators of the quantile density
qdf_soni	Indirect estimators of the quantile density
qdf_wavelet	Wavelet estimators of the quantile density
qdf_wavelet_nl	Nonlinear wavelet estimators of the quantile density with theoretical thresholds
rcopula_archimedean	Simulate exchangeable Archimedean copula scores
rlcv_criterion	Cross-validation criteria for quantile density estimators
select_bandwidth	Select the smoothing parameter of a quantile density estimator
select_fpa_density	Cross-validated choice of the wavelet resolution level and bandwidth
select_wavelet	Cross-validated choice of (j0, h) for the wavelet estimator
threshold_coefficients	Threshold wavelet coefficients
timber	USFS timber sealed-bid auctions (homogenised bids)
wavelet_filter	Orthonormal wavelet filters
wbcv_criterion	Cross-validation criteria for quantile density estimators