rho_probitnormal: Probitnormal score correlation
In ajmcneil/spectralBacktest: Spectral Backtests of Forecast Distributions
View source: R/kernelCollection.R
rho_probitnormal R Documentation
Probitnormal score correlation
Description
Returns the correlation for VaR exceedance pairs for use in the PNS test.
Usage
rho_probitnormal(support = c(0, 1), param = NULL)
Arguments
support
lower and upper bound of kernel window
param
list of optional parameters to kernels
ajmcneil/spectralBacktest documentation built on Dec. 31, 2022, 8:17 p.m.
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View source: R/kernelCollection.R
| rho_probitnormal | R Documentation |
Probitnormal score correlation
Description
Returns the correlation for VaR exceedance pairs for use in the PNS test.
Usage
rho_probitnormal(support = c(0, 1), param = NULL)
Arguments
support |
lower and upper bound of kernel window |
param |
list of optional parameters to kernels |
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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