estfun.esreg

This function matches the estfun function of the sandwich package and
returns the estimating functions for the fitted model.
It can for instance be used for an OPG estimator of the sigma matrix.
For esreg, the dimension of the estimating functions is n x (kq + ke).

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

estfun.esreg function

<dl><dt>x</dt>
<dd>An esreg object</dd>
<dt>...</dt>
<dd>Further arguments (does not apply here)</dd></dl>

Arguments

Estimating function — estfun.esreg

<dl>

<dt>x</dt>
<dd>An esreg object</dd>


<dt>...</dt>
<dd>Further arguments (does not apply here)</dd>

</dl>

estfun.esreg: Estimating function

Description

Usage

Arguments