checkFcn: Check function

In factorQR: Bayesian quantile regression factor models

Description

checkFcn is the check function, or tilted absolute value function.

Arguments

x	A vector of points at which we evaluate the function.
p	The quantile of interest.

Value

Returns a vector with the same length as x. The check loss is defined to be -1*(x < 0)*x*(1-p) + (x>0)*p*x.

Author(s)

Lane F. Burgette, Department of Statistical Science, Duke University. [e-mail]

factorQR documentation built on May 2, 2019, 3:38 p.m.