Description Usage Arguments Details Value References
This function computes true CES given true CVaR and conditional pdf.
1 | plugin_ces(p = 0.95, pdf, cdf, x, lower = -2, upper = 2)
|
p |
Upper tail probability. |
pdf |
conditional pdf given x. Function of |
cdf |
conditional cdf or cvar |
x |
conditional information variable |
lower |
lower value to be searched |
upper |
upper value to be searched |
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]
CES function of x
Cai, Z., & Wang, X. (2008). Nonparametric estimation of conditional VaR and expected shortfall. Journal of Econometrics, 147(1), 120-130.
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