plugin_ces: Plug-in Method

Description Usage Arguments Details Value References

View source: R/analytic.R

Description

This function computes true CES given true CVaR and conditional pdf.

Usage

1
plugin_ces(p = 0.95, pdf, cdf, x, lower = -2, upper = 2)

Arguments

p

Upper tail probability. 0.95, by default.

pdf

conditional pdf given x. Function of (y, x)

cdf

conditional cdf or cvar

x

conditional information variable x

lower

lower value to be searched

upper

upper value to be searched

Details

Note that

\hat{μ}_p(x) = \frac{1}{p} ∑_{t = 1}^n W_{c,t}(x, h) ≤ft[ Y_t \bar{G}_{h_0} (\hat{ν}_p (x) - Y_t) + h_0 G_{1, h_0} (\hat{ν}_p (x) - Y_t) \right]

Value

CES function of x

References

Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.


ygeunkim/ceshat documentation built on Dec. 16, 2019, 12:39 p.m.