density_quantile_function: Density Quantile Function

In BayerSe/esreg: Joint Quantile and Expected Shortfall Regression

Density Quantile Function

Description

Estimate the density quantile function

Usage

density_quantile_function(y, x, u, alpha, sparsity, bandwidth_estimator)

Arguments

y	Vector of dependent data
x	Matrix of covariates
u	Quantile residuals
alpha	Probability level
sparsity	iid or ind
bandwidth_estimator	Bofinger, Chamberlain or Hall-Sheather

References

For the iid and nid method, see Koenker (1994), and Hendricks and Koenker (1992). For the bandwidth types, see Bofinger (1975), Chamberlain (1994), and Hall and Sheather(1988).

BayerSe/esreg documentation built on May 21, 2023, 3:37 a.m.