Description Usage Arguments See Also Examples
Main alternative to estimating state-dependent quantiles based on the quantile identification function are state-dependent expectiles
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1 |
x |
forecast |
y |
realization |
stateVariable |
state variable |
theta |
model parameter to be estimated |
model |
model function |
... |
... |
Other identification functions: expectiles
1 2 3 4 5 6 7 8 9 10 | ### estimate expectation of identification function for quantile forecasts
set.seed(1)
y <- rnorm(1000)
x <- qnorm(0.6)
# expectation of identification with quantile level 0.6 is zero
mean(quantiles(x,y,0,0.6,constant))
# expectation of identification function with different quantile level
# (0.5 is the median) is not zero
mean(quantiles(x,y,0,0.5, constant))
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