expectreg (version 0.26)

expectile.cdf: Calculation of the conditional CDF based on expectile curves

Description

Estimating the CDF of the response for a given value of covariate. Additionally quantiles are computed from the distribution function which allows for the calculation of regression quantiles.

Usage

expectile.cdf(expectreg, x = NA, qout = NA, extrap = FALSE)

Arguments

expectreg

An object of class expectreg. The number of expectiles should be high enough to ensure accurate estimation. One approach would be to take as many expectiles as data points.

x

The covariate value where the CDF is estimated. By default the first covariate value.

qout

Vector of quantiles that will be computed from the CDF.

extrap

If TRUE, extreme quantiles will be extrapolated linearly, otherwise the maximum of the CDF is used.

Value

• A list consisting of
• x
  vector of expectiles where the CDF is computed.
• cdf
  vector of values of the CDF at the expectiles x.
• quantiles
  vector of quantile values estimated from the CDF.
• qout
  vector of probabilities for the calculated quantiles.

Details

For a given fixed covariate value, the conditional CDF of the response is estimated from the calculated expectiles. The theoretical values of a quantile regression at this covariate value are also returned for adjustable probabilities qout.

References

Schulze Waltrup L, Sobotka F, Kauermann G and Kneib T (2011) Comparing Expectiles and Quantiles Regarding Efficiency Working Paper.

See Also

bundle.density

Examples

data(dutchboys)
d <- expectile.restricted(dutchboys[,3] ~ base(dutchboys[,2]))
e = expectile.cdf(d,15,extrap=TRUE)
e