expectiles: Identification function for state-dependent expectiles

In PointFore: Interpretation of Point Forecasts as State-Dependent Quantiles and Expectiles

Identification function for state-dependent expectiles

Description

Identification function for state-dependent expectiles

Usage

expectiles(x, y, stateVariable, theta, model, ...)

Arguments

x	forecast
y	realization
stateVariable	state variable
theta	model parameter to be estimated
model	model function
...	...

See Also

Other identification functions: quantiles()

Examples

## Estimate expectile level for constant specification model with estimate.functional

res <- estimate.functional(Y=GDP$observation, X=GDP$forecast,
model=constant,
instruments="const",
iden.fct = expectiles)
summary(res)
plot(res)

PointFore documentation built on July 21, 2026, 5:08 p.m.