compute_EQRN_seq_GPDLoss: Generalized Pareto likelihood loss of a EQRN_seq predictor

In EQRN: Extreme Quantile Regression Neural Networks for Risk Forecasting

Generalized Pareto likelihood loss of a EQRN_seq predictor

Description

Generalized Pareto likelihood loss of a EQRN_seq predictor

Usage

compute_EQRN_seq_GPDLoss(
  fit_eqrn,
  X,
  Y,
  intermediate_quantiles = NULL,
  interm_lvl = fit_eqrn$interm_lvl,
  seq_len = fit_eqrn$seq_len,
  device = default_device()
)

Arguments

fit_eqrn	Fitted "EQRN_seq" object.
X	Matrix of covariates.
Y	Response variable vector corresponding to the rows of X.
intermediate_quantiles	Vector of intermediate conditional quantiles at level fit_eqrn$interm_lvl.
interm_lvl	Optional, checks that interm_lvl == fit_eqrn$interm_lvl.
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

Negative GPD log likelihood of the conditional EQRN predicted parameters over the response exceedances over the intermediate quantiles.

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