EQRN_fit_restart: Wrapper for fitting EQRN with restart for stability

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Wrapper for fitting EQRN with restart for stability

Description

Wrapper for fitting EQRN with restart for stability

Usage

EQRN_fit_restart(
  X,
  y,
  intermediate_quantiles,
  interm_lvl,
  number_fits = 3,
  ...,
  seed = NULL,
  data_type = c("iid", "seq")
)

Arguments

X	Matrix of covariates, for training.
y	Response variable vector to model the extreme conditional quantile of, for training.
intermediate_quantiles	Vector of intermediate conditional quantiles at level interm_lvl.
interm_lvl	Probability level for the intermediate quantiles intermediate_quantiles.
number_fits	Number of restarts.
...	Other parameters given to either EQRN_fit() or EQRN_fit_seq(), depending on the data_type.
seed	Integer random seed for reproducibility in network weight initialization.
data_type	Type of data dependence, must be one of "iid" (for iid observations) or "seq" (for sequentially dependent observations).

Value

An EQRN object of classes c("EQRN_iid", "EQRN"), if ⁠data_type=="iid",⁠ or c("EQRN_seq", "EQRN"), if 'data_type=="seq", containing the fitted network, as well as all the relevant information for its usage in other functions.

EQRN documentation built on April 4, 2025, 12:45 a.m.