EQRN_predict_seq: Predict function for an EQRN_seq fitted object

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Predict function for an EQRN_seq fitted object

Description

Predict function for an EQRN_seq fitted object

Usage

EQRN_predict_seq(
  fit_eqrn,
  X,
  Y,
  prob_lvls_predict,
  intermediate_quantiles,
  interm_lvl,
  crop_predictions = FALSE,
  seq_len = fit_eqrn$seq_len,
  device = default_device()
)

Arguments

fit_eqrn	Fitted "EQRN_seq" object.
X	Matrix of covariates to predict the corresponding response's conditional quantiles.
Y	Response variable vector corresponding to the rows of X.
prob_lvls_predict	Vector of probability levels at which to predict the conditional quantiles.
intermediate_quantiles	Vector of intermediate conditional quantiles at level fit_eqrn$interm_lvl.
interm_lvl	Optional, checks that interm_lvl == fit_eqrn$interm_lvl.
crop_predictions	Whether to crop out the fist seq_len observations (which are NA) from the returned matrix.
seq_len	Data sequence length (i.e. number of past observations) used to predict each response quantile. By default, the training fit_eqrn$seq_len is used.
device	(optional) A torch::torch_device(). Defaults to default_device().

Value

Matrix of size nrow(X) times prob_lvls_predict (or nrow(X)-seq_len times prob_lvls_predict if crop_predictions) containing the conditional quantile estimates of the corresponding response observations at each probability level. Simplifies to a vector if length(prob_lvls_predict)==1.

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