factorQR (version 0.1-4)

checkFcn: Check function

Description

checkFcn is the check function, or tilted absolute value function.

Arguments

x

A vector of points at which we evaluate the function.

p

The quantile of interest.

Value

Returns a vector with the same length as x. The check loss is defined to be -1*(x < 0)*x*(1-p) + (x>0)*p*x.