sigma_matrix: Sigma Matrix
In esreg: Joint Quantile and Expected Shortfall Regression
sigma_matrix R Documentation
Sigma Matrix
Description
Estimate the sigma matrix.
Usage
sigma_matrix(object, sigma_est, misspec)
Arguments
object
An esreg object
sigma_est
The estimator to be used for \Sigma, see conditional_truncated_variance
ind - Variance over all negative residuals
scl_N - Scaling with the normal distribution
scl_sp - Scaling with the kernel density function
misspec
if TRUE, the estimator accounts for potential misspecification in the model
esreg documentation built on May 31, 2023, 9:25 p.m.
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| sigma_matrix | R Documentation |
Sigma Matrix
Description
Estimate the sigma matrix.
Usage
sigma_matrix(object, sigma_est, misspec)
Arguments
object |
An esreg object |
sigma_est |
The estimator to be used for
|
misspec |
if TRUE, the estimator accounts for potential misspecification in the model |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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