esr_rho_lp: Joint (VaR, ES) loss for a linear predictor

Description Usage Arguments

View source: R/RcppExports.R

Description

Returns the loss for the parameter vector b

Usage

1
esr_rho_lp(b, y, xq, xe, alpha, g1 = 2L, g2 = 1L)

Arguments

b

Parameter vector

y

Vector of dependent data

xq

Matrix of covariates for the quantile part

xe

Matrix of covariates for the expected shortfall part

alpha

Probability level

g1

1, 2 (see G1_fun)

g2

1, 2, 3, 4, 5 (see G2_curly_fun, G2_fun)


esreg documentation built on Nov. 16, 2019, 1:07 a.m.