pinLoss: Pinball loss function

In qgam: Smooth Additive Quantile Regression Models

Description

Evaluates the pinball loss.

Usage

pinLoss(y, mu, qu, add = TRUE)

Arguments

y	points at which the loss is evaluated.
mu	location parameter of the pinball loss.
qu	quantile level of the loss.
add	if TRUE the losses at which quantile level will be added up.

Value

A numeric vector or matrix of evaluate losses.

Author(s)

Matteo Fasiolo <[e-mail]>.

Examples

n <- 1000
x <- seq(0, 4, length.out = n)
plot(x, pinLoss(x, rep(2, n), qu = 0.9, add = FALSE), type = 'l', ylab = "loss")

qgam documentation built on Nov. 23, 2021, 1:07 a.m.