lambda_matrix

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

lambda_matrix function

<dl><dt>object</dt>
<dd>An esreg object</dd>
<dt>sparsity</dt>
<dd>The estimator to be used for the sparsity in \(\Lambda\), see density_quantile_function<ul>
<li>iid - Piecewise linear interpolation of the distribution</li>
<li>nid - Hendricks and Koenker sandwich</li>
</ul></dd>
<dt>bandwidth_estimator</dt>
<dd>The bandwidth estimator to be used for the iid and nid sparsity estimator, see density_quantile_function<ul>
<li>Bofinger</li>
<li>Chamberlain</li>
<li>Hall-Sheather</li>
</ul></dd>
<dt>misspec</dt>
<dd>if TRUE, the estimator accounts for potential misspecification in the model</dd></dl>

Arguments

Lambda Matrix — lambda_matrix

<dl>

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


<dt>sparsity</dt>
<dd>The estimator to be used for the sparsity in \(\Lambda\), see density_quantile_function<ul>
<li>iid - Piecewise linear interpolation of the distribution</li>
<li>nid - Hendricks and Koenker sandwich</li>
</ul></dd>


<dt>bandwidth_estimator</dt>
<dd>The bandwidth estimator to be used for the iid and nid sparsity estimator, see density_quantile_function<ul>
<li>Bofinger</li>
<li>Chamberlain</li>
<li>Hall-Sheather</li>
</ul></dd>


<dt>misspec</dt>
<dd>if TRUE, the estimator accounts for potential misspecification in the model</dd>

</dl>

lambda_matrix: Lambda Matrix

Description

Usage

Arguments