esr_psi_lp: Identification (moment) function for the pair (VaR, ES) for a...

Description Usage Arguments

View source: R/RcppExports.R

Description

Returns the inner product psi' * psi of the moment function for the parameter vector b

Usage

1
esr_psi_lp(b, y, x, alpha, g1 = 2L, g2 = 1L, delta = 0)

Arguments

b

Parameter vector

y

Vector of dependent data

x

Matrix of covariates. Note: intercept needs to be added manually

alpha

Probability level

g1

1, 2 (see G1_prime_fun)

g2

1, 2, 3, 4, 5 (see G2_fun, G2_prime_fun)

delta

Smooth approximation of the indicator function (the default value 0 is the indicator function)


esreg documentation built on Aug. 22, 2017, 5:05 p.m.