G2_prime_fun

Choice of the G2_prime function:<ul>
<li>1: 1/z^2, z &lt; 0</li>
<li>2: 0.25 / (-z)^(3/2), z &lt; 0</li>
<li>3: -2/z^3, z &lt; 0</li>
<li>4: exp(z) / (1 + exp(z))^2</li>
<li>5: exp(z)</li>
</ul>

type

internal

Simultaneous modeling of the quantile and the expected shortfall of a response variable given
a set of covariates, see Dimitriadis and Bayer (2017) <arXiv:1704.02213>.

Sebastian Bayer

esreg

Joint Quantile and Expected Shortfall Regression

Timo Dimitriadis

G2_prime_fun function

Specification Function — G2_prime_fun

Specification Function

G2_prime_fun: Specification Function

Description

Usage

Arguments