G2_prime_prime

internal

Simultaneous modeling of the quantile and the expected shortfall of a response variable given
a set of covariates, see Dimitriadis and Bayer (2019) <doi:10.1214/19-EJS1560>.

Sebastian Bayer

esreg

Joint Quantile and Expected Shortfall Regression

Timo Dimitriadis

G2_prime_prime function

<dl><dt>z</dt>
<dd>Data</dd>
<dt>type</dt>
<dd>Choice of the G2_prime_prime function:<ul>
<li>1: -2/z^3, z &lt; 0</li>
<li>2: 0.375 / (-z)^(5/2), z &lt; 0</li>
<li>3: 6/z^4, z &lt; 0</li>
<li>4: -(exp(z) * (exp(z) - 1)) / (exp(z) + 1)^3</li>
<li>5: exp(z)</li>
</ul></dd></dl>

Arguments

Specification Function — G2_prime_prime

<dl>

<dt>z</dt>
<dd>Data</dd>


<dt>type</dt>
<dd>Choice of the G2_prime_prime function:<ul>
<li>1: -2/z^3, z &lt; 0</li>
<li>2: 0.375 / (-z)^(5/2), z &lt; 0</li>
<li>3: 6/z^4, z &lt; 0</li>
<li>4: -(exp(z) * (exp(z) - 1)) / (exp(z) + 1)^3</li>
<li>5: exp(z)</li>
</ul></dd>

</dl>

G2_prime_prime: Specification Function

Description

Usage

Arguments