cdf_at_quantile

Returns the cumulative density function evaluated at quantile predictions.
For a correctly specified model this should yield a value close to the quantile level.

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

cdf_at_quantile function

<dl><dt>y</dt>
<dd>Vector of dependent data</dd>
<dt>x</dt>
<dd>Matrix of covariates including the intercept</dd>
<dt>q</dt>
<dd>Vector of quantile predictions</dd></dl>

Arguments

Cumulative Density Function at Quantile — cdf_at_quantile

<dl>

<dt>y</dt>
<dd>Vector of dependent data</dd>


<dt>x</dt>
<dd>Matrix of covariates including the intercept</dd>


<dt>q</dt>
<dd>Vector of quantile predictions</dd>

</dl>

cdf_at_quantile: Cumulative Density Function at Quantile

Description

Usage

Arguments