CVAR.fc_vine: Calculate VaR and CVaR from sampled data. CVaR calculation is...

In kdayday/forecasting: Probabilistic Solar Forecsting

Description

Calculate VaR and CVaR from sampled data. CVaR calculation is done directly from the samples, rather than estimated from a fitted distribution.

Usage

## S3 method for class 'fc_vine'
CVAR(x, samples = NA, epsilon = c(0.05, 0.95))

Arguments

x	fc_vine object
samples	(optional) previously obtained samples to use instead of new sampling, e.g. for coordination with quantiles calculation
epsilon	Probability levels for lower/upper tail VaR/CVaR calculations, defaults to c(0.05, 0.95)

Value

list of var, cvar

kdayday/forecasting documentation built on Oct. 7, 2020, 7:16 p.m.