Nothing
cdf.qp <-
function(expectreg, x = NA, qout = NA, extrap = FALSE, e0 = NA, eR = NA, lambda = 0, var.dat = NA)
{
epsilon = 1e-05
max.iter = 20
step.halfing = 0.5
p = expectreg$asymmetries
if (is.na(x))
e <- expectreg$fitted[1, ]
else if (length(which(expectreg$covariates[[1]] == x)) >
0)
e <- expectreg$fitted[which(expectreg$covariates[[1]] ==
x)[1], ]
else e <- expectreg$fitted[which.min(abs(expectreg$covariates[[1]] -
x))[1], ]
e = sort(e)
K <- length(e)
if(is.na(var.dat) || var.dat < 0)
{
var.dat <- var(e)
}
if (is.null(p)==TRUE) # if no p is given we assume that quantiles are for equidistant p
{
p <- seq(0 + 1/(K+1), 1 - 1/(K+1), length = K)
}
mat <- apply(matrix(p), 1, all.equal, 0.5)
k0 <- which(mat == 'TRUE')
k0.i <- length(k0)
if (is.na(e0) == TRUE)
{
e0 <- min(e) + (min(e) - min(e[-which.min(e)]))
}
if (is.na(eR) == TRUE)
{
eR <- max(e) + (max(e) - max(e[-which.max(e)]))
}
if (k0.i) mu05 <- e[k0] else mu05 <- approx(p,y=e,xout=0.5)$y # Approximation of mean value
eg <- c(e0, e)
step <- eg[-1]-eg[-length(eg)]
if(any(as.vector(step == 0)))
{
ind <- which(as.vector(step) == 0)
step[ind] <- 1e-16
}
eg <- eg[-1]+eg[-length(eg)]
eg <- eg/2
egR <- (e[K] + eR)/2
P <- diag(1/step[-1], K-1, K-1)
P <- cbind(0, P)
diag(P) <- -1/step[-K]
Kmat <- t(P)%*%P
delta <- rep(1/(K+1),K)
loop <- 0
iter.diff <- 1
while ((loop < max.iter) & (iter.diff>epsilon))
{
loop <- loop + 1
F <- cumsum(delta)
Fs <- ( kronecker( matrix(1:K), matrix(1,1,K)) >= kronecker(matrix(1,K,1), t(matrix(1:K))))*1
G <- cumsum(eg*delta)
Gs <- kronecker(matrix(1,K,1), t(matrix(eg))) * Fs
h <- e - ( (1-p) * G + p * (mu05-G))/ ( (1-p) * F + p * (1-F))
if(k0.i)
{
h.tilde <- h[-k0]
hk0 <- mu05 - (G[K] + egR * (1 - F[K]))
h <- c(h.tilde, hk0)
}
hs <- - kronecker( matrix((1-2*p)/((1-p)*F + p*(1-F))), matrix(1,1,K)) * Gs +
kronecker( matrix( (( (1-p)*G+p*(mu05-G))*(1-2*p))/ (((1-p)*F + p*(1-F))**2)),matrix(1,1,K))*Fs
if(k0.i)
{
hs.tilde <- hs[-k0,]
hsk0 <- -eg + egR
hs <- rbind(hs.tilde, hsk0)
}
Ls <- t(hs) %*% h
Lss1 <- t(hs) %*% hs
Lss <- Lss1
dvec <- -Ls
Dmat <- Lss + (lambda * var.dat^2) * Kmat
### Zwischenschritt: Überprüfung auf Nichtsingularität
if(qr(Dmat)$rank != K)
{
penalty.term <- 0.001 * var.dat
Dmat <- Dmat + penalty.term*diag(K)
}
Amat <- cbind(diag(K), -matrix(1,K,1))
bvec <- matrix(c(-delta, sum(delta)-1))
xsi <- solve.QP(Dmat, dvec, Amat, bvec, meq=0)$solution
delta <- delta + step.halfing * xsi
iter.diff <- max(abs(xsi))
}
Fdistcum <- cumsum(delta)
if (any(is.na(qout)))
qout = p
if (extrap)
quant <- as.vector(my.approx(Fdistcum, e, xout = qout, rule = 3)$y)
else quant <- as.vector(my.approx(Fdistcum, e, xout = qout, rule = 2)$y)
result = list(x = e, density = delta, cdf = Fdistcum, quantiles = quant, qout = qout)
class(result) = "expectilecdf"
return(result)
}
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