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PPI++ estimator for continuous scores

Usage

ppi_pp_continuous_point_and_ci(
  Y_cal,
  Yhat_cal,
  Yhat_test,
  alpha = 0.1,
  lambda_range = c(0, 1)
)

Arguments

Y_cal

Vector of true labels on the calibration set.

Yhat_cal

Vector of surrogate predictions on the calibration set.

Yhat_test

Vector of surrogate predictions on the test set.

alpha

Miscoverage level for the confidence interval.

lambda_range

Numeric length-2 vector giving the optimization interval.