density_quantile_function: Density Quantile Function

In esreg: Joint Quantile and Expected Shortfall Regression

Density Quantile Function

Description

Estimate the density quantile function

Usage

density_quantile_function(y, x, u, alpha, sparsity, bandwidth_estimator)

Arguments

y	Vector of dependent data
x	Matrix of covariates
u	Quantile residuals
alpha	Probability level
sparsity	iid or ind
bandwidth_estimator	Bofinger, Chamberlain or Hall-Sheather

References

For the iid and nid method, see Koenker (1994), and Hendricks and Koenker (1992). For the bandwidth types, see Bofinger (1975), Chamberlain (1994), and Hall and Sheather(1988).

esreg documentation built on May 31, 2023, 9:25 p.m.