vcovB: Bootstrap Covariance Estimation
In esreg: Joint Quantile and Expected Shortfall Regression
vcovB R Documentation
Bootstrap Covariance Estimation
Description
Estimate the variance-covariance matrix of the joint (VaR, ES) estimator
using the bootstrap.
Usage
vcovB(object, bootstrap_method = "iid", B = 1000)
Arguments
object
An esreg object
bootstrap_method
The bootstrap sampling scheme to be used
iid - The iid bootstrap of Efron (1979)
B
The number of bootstrap iterations
esreg documentation built on May 31, 2023, 9:25 p.m.
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| vcovB | R Documentation |
Bootstrap Covariance Estimation
Description
Estimate the variance-covariance matrix of the joint (VaR, ES) estimator using the bootstrap.
Usage
vcovB(object, bootstrap_method = "iid", B = 1000)
Arguments
object |
An esreg object |
bootstrap_method |
The bootstrap sampling scheme to be used
|
B |
The number of bootstrap iterations |
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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