sigma_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

sigma_matrix function

<dl><dt>object</dt>
<dd>An esreg object</dd>
<dt>sigma_est</dt>
<dd>The estimator to be used for \(\Sigma\), see conditional_truncated_variance<ul>
<li>ind - Variance over all negative residuals</li>
<li>scl_N - Scaling with the normal distribution</li>
<li>scl_sp - Scaling with the kernel density function</li>
</ul></dd>
<dt>misspec</dt>
<dd>if TRUE, the estimator accounts for potential misspecification in the model</dd></dl>

Arguments

Sigma Matrix — sigma_matrix

<dl>

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


<dt>sigma_est</dt>
<dd>The estimator to be used for \(\Sigma\), see conditional_truncated_variance<ul>
<li>ind - Variance over all negative residuals</li>
<li>scl_N - Scaling with the normal distribution</li>
<li>scl_sp - Scaling with the kernel density function</li>
</ul></dd>


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

</dl>

sigma_matrix: Sigma Matrix

Description

Usage

Arguments