conditional_mean_sigma

Estimate the conditional mean and sigma of the dependent data conditional on covariates x

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

conditional_mean_sigma function

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

Arguments

Conditional Mean and Sigma — conditional_mean_sigma

<dl>

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


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

</dl>

conditional_mean_sigma: Conditional Mean and Sigma

Description

Usage

Arguments