Man pages for esreg
Joint Quantile and Expected Shortfall Regression
| cdf_at_quantile | Cumulative Density Function at Quantile |
| conditional_mean_sigma | Conditional Mean and Sigma |
| conditional_truncated_variance | Conditional truncated variance |
| density_quantile_function | Density Quantile Function |
| esreg | Joint Quantile and Expected Shortfall Regression |
| esr_loss | Joint Loss Function |
| esr_rho_lp | Joint (VaR, ES) loss for a linear predictor |
| estfun.esreg | Estimating function |
| G1_fun | Specification Function |
| G1_prime_fun | Specification Function |
| G1_prime_prime_fun | Specification Function |
| G2_curly_fun | Specification Function |
| G2_fun | Specification Function |
| G2_prime_fun | Specification Function |
| G2_prime_prime | Specification Function |
| G_vec | Vectorized call to the G1 / G2 functions |
| lambda_matrix | Lambda Matrix |
| sigma_matrix | Sigma Matrix |
| vcovA | Asymptotic Covariance Estimation |
| vcovB | Bootstrap Covariance Estimation |
| vcov.esreg | Covariance Estimation |
