esreg (version 0.3.1)

gpl: Generalized Piecewise Linear Loss Function

Description

Equivalent to the tick / check loss when g is the identity function.

Usage

gpl(r, q, alpha, g = function(x) x, return_mean = TRUE)

Arguments

r

Vector of returns

q

Vector of quantiles

alpha

Probability level

g

A nondecreasing function

return_mean

If TRUE returns the average tick loss, else the individual values

References

Gneiting (2011)